Lucid Dreaming is a reference to the practice of being
self-aware while
dreaming. To get an idea of how it feels like, imagine yourself right as you are now, but suddenly realizing that you're dreaming, without this doing anything to your
consciousness. Neat stuff. Some people are naturally lucid, but they're pretty rare. Almost everyone else can achieve dream lucidity by doing a few exercises, which I've listed further below.
While at lucid state, you normally have some degree of control over your dreams. The more you take an active part in the experience, the greater degree of control you have over it. I'm talking dream control here -- you can conjure up pretty much anything or anyone you want, that boy/girl nextdoor you really wished you could boink, a situation you're afraid of and always wanted the opportunity to confront from the comfort of your blanket's underside or something really really fun that you couldn't do in real life. Like flying. Flying really takes the cake.
So anyway, some real effective exercises for becoming lucid; It took me about two weeks till I had my first lucid dream and then had one every three days on the average:
Reality Checks: A lot of stuff happens differently in dream state, almost invariably. Willing to fly would get you off your feet and in the air when you're dreaming. Reading something and then re-reading it again normally results in a different text each time in a dream. Also, when you look at your hands while dreaming, they tend to melt. I'm not trying to scare you or anything, it just works that way. I don't know why. If you try these things several times a day, eventually you'd start doing them in your dreams as well, in which case they're almost sure to trigger lucidity.
Dream Journaling: Also for reasons unbeknownst to me, keeping logs of your dreams that you remember helps immensely towards becoming lucid. Keep a notepad and pen beside your bed. If you wake up remembering a dream, as many people often do, take the time to scribble to paper everything that you remember. Don't bother trying to make it look consistent, just log all the bits that you do remember.
Explicit Wishing: Also a good thing to do several times a day along with your reality checks is to explicitly wish to become lucid. Speak it out loud, or, if you're afraid to incur doubts of nearby witnesses with your sanity, just think it out loud.
Use your imagination: Imagine that you're dreaming, and that everything that happens to you at the moment is in fact a dream. Imagine yourself doing stuff you could only do in a dream: Fly, slither up walls, fight big bad dragons... think of yourself doing those things being fully aware that you're dreaming. Don't just think about those things, imagine yourself doing them!
Consider becoming lucid when you go to sleep. I remember once, having fallen asleep to thoughts of becoming lucid (I don't really remember falling asleep, just the bits afterward), I started dreaming about being in school again, I was sitting among my friends in the meeting hall, trying, very badly to become lucid. Sometimes you miss your mark, it was a step in the right direction though.
Take naps: This is not really necessary, but lucid dreamers find that they're much more strongly lucid, much more often, when they take naps. For instance, if you wake up in the morning and have some time to kill, get up, hang about for a while, then go back to bed with the intention of becoming lucid. Take such naps in the middle of the day.
These should be more than enough to get you to become lucid. Standard disclaimer applies. Also, very shortly after I stopped doing any exercises I stopped being lucid as well, I wonder how quickly I'll regain lucidity once I start doing them again.