Obviously we exist, in as much as our presence influences that which is around us, and vice-versa. Now, if we are in fact "dream entities", we STILL exist, just not in the state which we believe ourselves to be.
Do these words your reading exist? They are made of nothing but recorded coding displayed on your screen. Heck, even my typing them doesn't make them anything more than, for all intents, an illusion. But, I type them, and you read them, and you come to see the meanings behind these funny little shapes and know (or at least COULD know) what I mean when I type these "non-existant" words.
So, even if we're a dream, even if we're a fantasy or an illusion, we still *exist*.