"why have lucid dreaming when you can have imagination?" - The Edna Man.
It's a bit difficult to answer that question in just a line or two that would say everything I have to say about lucid dreaming. First off, lucid dreaming is imagination, so I guess what people would refer to when saying imagination is actually daydreaming. The main difference between the two is that you appeal to all senses than just the visual. The most vivid day dreams would pale in comparison to even a moderately good experience in the dreamworld.
When lucid dreaming, it's far more possible to interact with the dreamscape than when daydreaming. Take for instance, my favourite activity: flying. When I do that during a lucid dream, I am able to feel a floating sensation, look around at the scene from literally a bird's eye view, and even feel the wind against me. When I decide to plummet towards the ground, my heart beats in sense of thrill from the "artificial" g-forces. Everything seems much more real. I ever got hurt in a dream (non-lucid that is) and my arm hurt like hell. I woke up with the pain still in my arm, but after a minute, it disappeared. In short, dreaming while sleeping is virtual reality, something that I don't think daydreaming could ever emulate.
That's of course just the superficial side of lucid dreaming, or dreaming in general. In daydreaming, more or less, you control every single thing. In a lucid dream, this is not true. You control most of it, but certain things are unintentional. Like the scene you first appear in is usually unintended, and the way the environment responds to you is usually unintended. However, one must realise that it is still controlled unconsciously, for nothing else could control it but you, i.e. it's subconscious.
I emphasise alot on the subconscious mind in my posts related to dreams. I reasoned that there could be no other way that the environment could respond to me if I had no control over it at all, since dreams are the manifestation of imagination, which cannot come from sources other than the mind itself. The fact that we are not really aware nor comprehensive of it made me want to understand it more. After all, it is part of me.
So besides leisure, dreams, I believe, could also be used for self-psychoanalysis, which is rather interesting and intriguing. What's more, is that all these are true because I believe them so. Such is the power of the mind in the dreaming world!
(Btw, I'd also refer you to an earlier post of mine that's similar, just that it wasn't targeted just at why I took up lucid dreaming - Lucid Dreaming...