Apologies if this goes on a bit long, but if I may posit a hypothetical scenario:
You are in a dream world. This dream world is not fuzzy and vague like your nightly dreams, however; it is vivid, marvellous, and lively. You have achieved an incredible state of lucidity - this perfect dream, in which everything happens with great clarity, is yours to control. Everything you could ever want to happen in your life happens. You become a local hero after running into a burning building and saving a kid. You meet the girl/guy of your dreams, and eventually enter a very happy long-term relationship with him/her and marry. Your relationship with your family could not be better, and you have many very close friends. Later in life you develop superpowers. You are chosen to be part of an astronaut team that takes a shuttle to an asteroid and blows it up, heroically saving the world despite great personal loss. This world is not without loss, for that matter; people die, but never meaninglessly or arbitrarily - every death is a moment of redemption, self-sacrifice, personal growth, or forgiveness. Later you colonize Saturn and turn it into the best mansion ever with a huge pool and a helicopter. Many love you, and your rivals have grown to respect you despite continually butting heads with you. Every aspect of this dream is utterly yours to control; the best moments never pass by too quickly and you can revisit any memory at any given time. Your life in your dream world is completely and impossibly perfect.
You are also living in a tube full of science goop with wires attached to your brain in the distant future.
One day you find out, through some contrived circumstance such as you somehow catching a glimpse of the lab you are in, that you are in this tube. The dream world then resumes. You are faced with the options: Stay in the dream world, or leave the tube and be thrown into the real, unknown world around you.
Now, the important thing to remember about this is that your dream world does not give you 'fake' happiness, nor does anything feel 'wrong' such as in films like The Matrix. It is perfect. It's not 'too' perfect or any of that; living in your lucid dream world makes you happier than you could ever otherwise be. It is not a world in which there are no troubles, either; you could give yourself trials to overcome and subsequently overcome them and grow as a person for it as well as feeling a sense of accomplishment. However, the one thing giving you pause is that you know it is a dream world.
If you chose to stay in the dream world, you would never again see or retain knowledge of the real world. You would forget you'd ever seen it and would not harbor doubts about the world you were in. The computer glitch would be repaired and there would be no chance for you to ever see the 'real' world by accident again. However, if you chose to leave the dream and enter into the real world (and no one would stop you; you'd be allowed out quite amicably), the world, though real, would not be yours. It would be somewhere in the future, a dirty, gritty world in which you could make a living for yourself, but it would be hard, and quite likely to be entirely miserable. You would have no connection with it; this would be a world in which time moved on without you. And of course you would never be able to return to the tube and the dream world.
Obviously I am asking which one you would choose. However, to differentiate between typical Hollywood presentations of this dilemma (see: Abre Los Ojos, The Matrix), I must stress again that the dream world is perfect - and not a general idea of perfection, a personalized perfection crafted by your subconscious and imagination for you alone. It doesn't feel wrong, fake, etc; it is not somewhere you would ever want to leave had you not know the real world was out there. Similarly, the real world does not bring with it redemption nor hope nor meaning - it is in all likelihood quite shitty, and you are aware of this before being presented with the choice.
tl;dr The one and only thing the real world has going for it is that it is real. Which do you choose?