Most dogs are pretty fun to have around, even though they can sometimes be loud, messy or needy (but than so can I). But a sleeping dog on the bed brings a sense of relaxation and comfort in a way that few things can, and our dog makes our sleep a lot more restful. Our cats are comforting to have around as well, except that we like to sleep with our door shut and they like to wake up in the middle of the night an knock things off the bed tables until we let them out.
Here is a story about the health benefits of sleeping with a dog (though I'm sure a cat would sub nicely for most people: TheWildest.com