In Islam it's a sunnah that we fast, and I bet many of us feel better when we sahur compared to missing it. Like any other sunnah, there is a hikmah in sahur, here I reveal the secrets of sahur. (Taken from this book, of course..)
There are many hadiths that strongly suggest sahur in the Ramadhan. Among them Bukhari, Muslim, Ahmad, Tirmidzi, and Nasai. In these hadiths sahur is associated with blessings and goodness. In other hadiths by Muslim, Ahmad, Abu Daud and Nasai we are asked to sahur to differentiate our fasting from the people of the book. The times we are recommended for sahur is further towards dawn, as it was said that we are told to delay sahur but hasten our fast breaking.
According to Imam Ibn Abdil Bar, all hadiths regarding to the delaying of sahur and the hastening of breaking fast are all sahih and mutawatir.There is a significance in a delayed sahur, as it can be considered as breakfast, thus we don't feel hunger upon our regular chores of the day. A researched showed that the most important meal of the day is breakfast, BBC News dated March 7th 2003 reported that taking breakfast preserves health compared to other meals in the day.