Lockwood's dreams set up the mystery of who Catherine Earnshaw Linton really was. They also heighten and foreshadow some of the cruelty that is evident in later parts of the book. For instance, Lockwood rubs the wrist of Catherine's ghost across a pane of glass so she will let go of him. The supernatural elements of his dreams also add to the Gothic mystery surrounding Wuthering Heights. They also heighten the tension in the novel which is initially established with Lockwood's arrival and his strange treatment by Heathcliff. All of these occurrences eventually lead Lockwood to try to solve these mysteries by asking Nelly Dean about Heathcliff and that leads to her narrative of the rest of the story.
After Lockwood is down reading Catherine's diary he falls asleep but then he dreams about Catherine. In this dream Catherine's ghastly hand appears grasping Lockwood's hand and she demands to be let in. This scene creates a mood of anxiety and suspense for the reader. What heights the mood would be Lockwood repeatedly trying to stab the ghost's hand on the broken window and the ghost bleeds, blood covering Lockwood's sheets. Lockwood him self is shaken and runs out of the room as fast as possible.
Lockwoods dream happens just after this, so its ike Bronte is trying to make lockwood scared of Cathy. And this adds to the mystery and makes readers move on to find out what Lockwood could be afraid of.