There are many examples of the futility of dreams. The dream of owning a ranch, a piece of land, is the ultimate futile dream. Lenny and George hold onto this dream for different reasons. Lenny, in his innocence, believes in the dream the same way a child might believe in Santa Clause. Because he is hearing about the dream from George, whom he trusts completely, Lenny is accepting that it will become a reality.
George holds onto this dream, not so much because he believes it will come true, but because a dream gives him the strength to go forward. As long as Lenny is with him George will keep this shard of hope alive.
When Candy finds out about the dream, he clutches to it as a way to find honor or dignity in his life. He realizes he is becoming less useful on the ranch and the life will get the best of him soon.
Crooks sees the ranch as a way to possibly become equal with others. He separates himself from the other men, but he is also separated by race, intelligence, and handicap. He does not want to believe in dreams, but allows himself to, only to have it crushed.
The dream of the ranch, of course, is crushed with Lenny's death. Which brings about the stark realization that the dream is hopeless. This leaves the dreamer in a worse state than before because now even his dreams or hopes have been stolen from him.
Other smaller dreams such as Curly becoming a boxer, Curly's wife an actress, or even Lennie to have a pet are all crushed as well. While the dream may exist, outside circumstances stop it from reaching fruition.
Remember, the novel is set during the Great Depression. Historically this was a time when dreams were not worth much. People were in situations which they did not have the means or ability to overcome.