Dragon lairs are very rare. I believe there's one (or more) Wildland guaranteed to have a Storm Dragon lair. Otherwise, you might play several games without seeing one.
You cannot build Dragonriders, by the way. A Dragon lair, just like an Ogre lair or the Knights of Asok, provides a unit for your army every x turns.
A Dragon is very strong though; it almost ensures victory by itself. There's also a questline with a dragon as a reward, but you need a pretty badass-army to be able to complete it.
