Now, that is quite literally the 8 billion Soul question. Its really easy to slide into infinite regress or the kind of mental gymnastics the religious engage in to make the facts fit their interpretation but I like to keep it simple:
I think that consciousness is everything. I also think that without it there would be nothing. The Observer Effect proves this as does Schrödinger's Cat and various other bits and bobs. The Game, in that respect, is mental. Your mind is hugely powerful. Dreams offer hints because there is no biologically sound reason to incapacitate a human being for a third of its life whilst leaving it exposed to dangerous elements and threats to its existence. Not to mention the amount of fuel used by the brain as we rest to create these visions. It makes no sense in that respect.
The interesting thing about them is that, behind closed lids, they seem as real as can be. We automatically believe. Until we rise and realize the illusion. That was the first hint about the Game aka wheels within wheels or a dream within a dream. As we're told as jits:
Row, row, row you boat (of flesh), gently down the stream (of consciousness) , merrily, merrily, merrily, merrily (because fear is false evidence appearing real), life is but a dream (within a dream).
There are loads of these "easter eggs" sprinkled around for those with the eyes to see and mind inquiring plus you can leverage the hypnagogic/hypnopompic states of awareness around sleep to see beyond the fringe. Its almost like it was setup, in a way, for us to realize this but its very subtle and hidden right in front of your vision. Once you spot the glitch then the splinter of the mind thing kicks in and here we are kicking the ballistics about the simulated life we're living via a string of invisible digits that connect people who've never met and yet know each other pretty well.
In many ways its the quest for Knowledge of Self. Like I mentioned to Burger I've got a way of peeping the script for an incarnation and 8/10 times the visions are perfect renditions of the life they're living. That, theoretically, should not be possible. And yet, it is.