The sense of agency refers to the subjective feeling of controlling one's own behavior and, through them, external events. Why is this subjective feeling important for humans? Is it just a by-product of our actions? Previous studies have shown that the sense of agency can affect the intensity of sensory input because we predict the input from our motor intention. However, my research has found that the sense of agency plays more roles than just predictions. It enhances perceptual processes of sensory input and potentially helps to harvest more information about the link between the external world and the self. Furthermore, our recent research found both indirect and direct evidence that the sense of agency is important for people's exploratory behaviors, and this may be linked to proximal exploitations of one's control in the environment. In this talk, I will also introduce the paradigms we use to study the sense of agency as a result of perceptual processes, and our findings of individual differences in this sense and the implications.