I've been working on mastering these in the past few weeks. I can lucid dream maybe 30% of the time. A friend got me interested in
http://www.lucidity.com , particulary the FAQ. I also downloaded some e-books on the subject. I find it fascinating stuff.
The first lucid dream I had was I went into a variety store, and it was very important that I stole 2 rolls of paper towel. So i stole them but the owner caught me. I ran out of the store and down the sidewalk. As I turned a corner, it turned into a corner I've passed almost every day while still living with my parents. Its basically at the top of a hill, looking down into my city. You can see the only 2 real tall buildings (14 and 18 floors). I recognized this in the dream, but the sky was a dull orange. I thought to myself in the dream "thats not right, i must be dreaming!". I then became lucid and it was one of the most wonderful feelings Ive ever felt. I woke up soon afterwards, and have had at least 3 more.