Most of the people I know who use that phrase are being somewhat sarcastic. Most notably the helicopter pilot from Germany I knew who was getting paid absolute shit because until you make a certain number of flight hours, your options are extremely limited and you have to take a second job to make ends meet. Every time I said, "What's up?", he said "Living the dream, man!" then proceed to complain about all the shit he has to put up with. He loves flying, but the "dream" is anything but.