Reading David Brin's "Tomorrow Happens", with its speculation on the nature and levels of reality. How can we tell what's real, how do we know if the Matrix has us?
Reminded me of a comic book. The super heroes gradually realize they're trapped in an illusion, created by one of their enemies. They valiantly fight their way out of it, celebrating freedom reclaimed, only to discover the successful fight for escape was just another layer of illusion. In the end they do escape, making it back to reality, defeat the villain and thwart his plans...but they're still characters in a comic book.
Look back at world religions: many believe the afterlife is essentially like this one; you have a job, you have needs, you go on with the "business of living" in a slightly different context. Reincarnation is similar; when we die we briefly "exit" reality only to "reenter" from a different direction.
How does morality apply if life really is just a dream? We have to accept what we perceive as real, and base our moral and ethical decisions upon that assumption. Is the beggar asking for money really a homeless, hungry, "deserving" individual or a deceitful trickster trying to rob us a quarter at a time? We cannot know; we have to accept the reality that there is someone in front of us asking for help, and we have to determine how we can help them.