My Theories..

The general assumption is that it is all Henry's dream, but this brings up the question: "If so, why is Sam the main character and why do the events revolve around him?" To this, I say this: Sam and Lila are the last persons that Henry sees before dying, so at his last moments, he imagines that he is Sam (someone still alive), he wants to own his living body and continue living in it. Similarly, he gives Lila's body to Athena in his dream. Then, he imagines a life for himself and Athena in Sam and Lila's bodies. Note that when he is dying, he has a ring in his hand and going back to the beginning of the film, we see Sam waking up with a ring on his hand. Also note that Lila calls Sam "Henry" once. Also note that the paintings at Sam & Lila's house are signed "Henry".
So, Sam is a new beginning for Henry, the embodiment of his vision of an imagined new beginning. But bad memories and his sense of guilt just don't let him go. Lila's suicide represents Athena's death caused by the accident. In his imagination, Henry wants to have rescued the woman he loves (Sam rescues Lila after her suicide), rather than causing her to die (Henry believes he caused the accident and therefore Athena's death). Sam playing chess with the blind man represents Henry's longing for a reconciliation with his father, who also died in the accident. Sam's going to the mother's house is also similar, that's why the mother calls him "Henry", just when he thinks he is reconciled with his mother, she starts bleeding, again reminding Henry of his sense of guilt. This sense of guilt is also backed up by the "sick" Henry (representing the dark and problematic side of his perosna) entering Sam's life (the artificial,idealized side of his persona). At this point, Henry 'realizes' that Sam and Lila are separate people and he just can't go on imposing his imaginary world upon them, he has to let go of his life and Sam & Lila. After that, he dies and the real Sam and Lila (in the real world, independent from Henry's imagination) just newly meet after the accident and God knows how they will end up.