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If you are writing this for a paper or for a class assignment, focusing on the role dreams play in Miller's work could be a good starting point. This could begin in how Wily sees his own reality. What role do his dreams play in how reality is versus what he sees it to be? Maybe even a more elemental question can be analyzed: Is Wily able to accomplish his dreams? If not, how does this impact him? Miller is writing the play in response to the driving spirit of accomplishing "The American Dream" in the 1950s post War America. He deliberately constructs a reality that was not discussed at the time: What happens when someone fails to accomplish the elusive dream? Part of the repression of the time period was that the nation did not effectively address what happens when individuals fail in the accomplishment of a dream which is material- based, which always guarantees some level of inherent disenchantment. He is confident that writing the character of Wily is reflective of many in America who saw their own lives play out:
[The audience members] were weeping because the central matrix of this play is ... what most people are up against in their lives.... they were seeing themselves, not because Willy is a salesman, but the situation in which he stood and to which he was reacting, and which was reacting against him, was probably the central situation of contemporary civilization. It is that we are struggling with forces that are far greater than we can handle, with no equipment to make anything mean anything.
The role of dreams helps to play a major part in the theme of appearance versus reality. In analyzing the role of dreams, this might be where the "importance" lies. I think that progression in this task lies in being able to discuss how dreams are presented in the play, how characters respond to them, and what overall effect dreams hold on these individuals. In doing this, you would be clearly establishing a case for the "importance of dreams."
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