Dill is back to telling his wild stories again, so we know he is unhappy with his life at home in Meridian. Dill had not planned to come to Maycomb at all for the summer, since he and his father were supposedly busy with plans to "build a fishing boat." But Dill confesses that his father only "said we would. We never did." So, he invented a series of stories about how badly he was mistreated: chained in the basement and left to die, forced to eat raw field peas, and reduced to washing camels. Finally, he ran away to the place he loved most. Almost certainly, none of Dill's stories were true, but the anguish he felt concerning the relationship with his "new father" was real. He believes that his parents are better off without him, and Dill tells Scout that he wants to have a baby with her, though neither are quite sure how they come about: He believes they can bring up a baby better than his parents have. Before the two of them fall asleep while innocently sharing Scout's bed, Dill speculates that Boo Radley has never run away because
"Maybe he doesn't have anywhere to run off to."
In addition to what the first answer above states, we also learn that Dill now recognizes Jem has grown up a lot since he last saw him. When Scout asks, "How'd you get here?" Dill spins his wildly elaborate tale of escaping from captivity, running away, and joining the circus before walking the rest of the way to Maycomb. When Jem, just moments later, asks the same question, Dill tells the truth - he stole money from his mother's purse, bought a ticket on the train, and walked the rest of the way to the Finch house.
Jem further shows his newfound maturity when, after hearing this explanation, he gets up and "breaks the remaining code of (their) childhood" by going to tell Atticus that Dill is there. After this, Scout and Dill are left to talk alone, and the truth and depth of Dill's loneliness are revealed. This ultimately gives Dill a unique and insightful understanding of Boo Radley: he realizes Boo never ran away because, unlike Dill, he had nowhere to go.