I have been practicing the (art?) of Lucid Dreaming for a little less than a year now. I have had multiple lucid's of varying degrees of control.
LD'ing is very fun, and you are able to do anything after some practise. I don't understand how you could not believe that they are not possible, but that could just be me. There are too many different ways to induce LD's to list here, Here are some good sites
www.ld4all.com --> Some info with a Forum
www.lucidity.org --> The lucidity institute's site