Usually DH and I just crack up and watch her for a bit, but don't wake her up. If it's at night, I try my best not to wake her up unless she is relentless and I can't sleep because of it.
You're not really supposed to wake them up while dreaming (that is, on a regular basis) because it prevents them from getting the deep sleep they need. I read about a guy whose dog was very anxious and was acting out a lot. Eventually a pet therapist realized what the problem was; every time the dog started dreaming/running in his sleep/whimpering, the owner shook him awake.
It was because the dog wasn't getting enough replenishing deep sleep that he was misbehaving during the day. Once the owner let him sleep through, he said it was like having a completely different dog!
Ever since hearing that, I usually let her be during her little dreams.