Macbeth's vision of the dagger shows us how deeply he's become embroiled in the world of the supernatural. Killing Duncan wasn't just a simple act of treachery (though it was certainly that, too): it was an act of blasphemy against God himself, who had chosen Duncan to rule Scotland (at least according to the Divine Right of Kings theory).
In committing such a foul, heinous deed, Macbeth entered into a diabolical pact with the forces of darkness, and the bloody dagger is an uncomfortable reminder of this. The appearance of this terrible vision also shows us once again that Macbeth never truly feels at ease in his position as usurper. He's achieved great power, and yet he is never able to enjoy it. The bloody dagger is a manifestation of that dark, troubled subconscious that prevents Macbeth from fully adjusting to the role of king.
In act two, scene one, of Macbeth, Banquo and Fleance exit the scene, and Macbeth begins to hallucinate by seeing an imaginary bloody dagger leading him toward King Duncan's chamber. Macbeth recognizes that the dagger is simply a figment of his "heat-oppressèd brain" and that it is a manifestation of his ambition to become king by murdering Duncan. In addition to Macbeth witnessing the illusory dagger, he also hallucinates during a banquet when he sees Banquo's ghost. Banquo's ghost is a manifestation of Macbeth's guilty conscience, which is similar to Lady Macbeth's hallucinations regarding her imaginary bloodstained hands.
Macbeth's imaginary dagger is the first hallucination in the play, and it contributes to the prominent supernatural elements throughout the production. During the dagger scene, the audience realizes that characters' hallucinations correspond to their inner feelings, which helps develop the particular character experiencing the hallucination. The audience recognizes Macbeth's inherent desire to murder King Duncan, which prepares the audience to analyze future hallucinations and associate them with each character's inner feelings.
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