We just had an unusually long convo on this topic in IRC, drawing in talk from Zeupar, SJ, and a PM asking about it from Werey, so I figured I'd make a post regarding lucid dreaming and donna's elation instead of trying to detail it while fielding questions by three or four different people and hearing all of their own dreams. :P It's more interesting to chat about this actively with other people, so forgive me if I sound like an encyclopedia entry here.
What and Why
As donna said, lucid dreaming is, in its simplest form, the knowledge that you're dreaming while you're still in the dream. Dream control is exerting will over the dream in some form, whether lucid or otherwise. Of course, when people talk about lucid dreaming, they tend to talk about knowing they are dreaming with at least a will to *want* control. This happens to some people naturally, e.g. Werey PM'd me saying that he's almost always known he was dreaming but had no control. Other people have to work at it, e.g. donna and I.
The first question on most people's mind at this point is "why would I care to do this?" I'll fall on donna's examples first. Her first lucid dream started as a nightmare, and upon knowing she was a nightmare, she made things seem a lot more enjoyable (in her own way, of course). Her second was purely for her enjoyment. Other people claim that lucidity can lead to spiritual enlightenment, although that's not my belief and your mileage may vary with that reasoning. The primary reason people aim to do it is for enjoyment. You can bet that this post is going to focus on this aspect of it, particularly in ways that you can't do in real life -- TSC is not The Spiritual Center, so if you're not reading this for the sake of doing crazy things in your head with no consequences, read up on this somewhere else.
If a dream's completely influenced by your thoughts, memories, desires, etc., why shouldn't you be able to mold it into what you want from it? As said before, maybe there's something you do in real life that you find fun, but this post is going to focus on the things you can't do except for in a dream. In donna's dream, she went to Green Hill 1 and started zipping through the landscape. RPG once told me that in a dream he "went Super, Hyper, and a form beyond that". Not that this is limited to Sonic-related things, mind you, but that's what these two were interested in. I personally learned about lucid dreaming after reading a topic about it on a NiGHTS message board, and consequently whenever I realize I'm in a dream I start hovering just off the ground without intending to.
How
Enough about "why", let's move to "how". If you're not a natural like Werey, then by the definition of lucid dreaming, you'd have to somehow train your unconscious to become somewhat conscious on cue, right? Yeah, sounds tough for me too. >_> In lieu of that, I'd recommend simply keeping the concept on your mind as often as possible. If something feels off during the day, do a quick check to see if it's real, e.g. do you have to breathe. If you don't feel funny or out of breath trying to breathe with a pinched nose, you're dreaming. Wholly want the check to fail: if you go into it expecting to struggle breathing, the same would happen if you tried it in a dream. A more discreet way to do this if you're around people is to see if you can bite your tongue (be careful! :P).
If you're on the computer a lot, there's a program out there called Subliminal blaster, which you can customize to flash messages of your choice onto your screen for one or two frames at a time, then disappear, and reappear a few seconds later. I'm not saying subliminal messages work. What I'm saying is that if you catch a glimpse of one of these messages, your brain'll have a quick thought along the lines of "oh, that's the program I had running to remind me about lucid dreaming". That should keep it on your mind anytime you're on the Internet, IRC, etc.
Waking up after five or so hours of sleep, then going back to sleep with the intention of recognizing the next thing you see as a dream is a popular way. A very difficult yet rewarding way is to wake up after five or so hours, then lay still in bed as the body goes to sleep (see Chao_Fan's post on sleep paralysis sans the creepiness) and repeatedly think about lucidity, keeping your thoughts active as the rest of the mind and the body go to sleep. Keeping just this one part of the brain on takes a lot of practice, because thinking too hard'll keep you awake, and too little will see you fall unconscious. I haven't gotten this one to work for me yet, but since you go in conscious, this also gives you the most time in the dream to exert your will.
Understand that even after doing this, lucidity doesn't happen almost every time. I've been lucid in spurts of three times in three days, and have had periods of only once a month. Also, if you're not remembering your dreams (and *everybody* dreams almost every night, so don't say you don't dream), you're wasting your time learning this before starting to remember what you already have. A person's short-term memory lasts about 20 seconds. Set your alarm ten minutes earlier than usual so that you can spend a short while dwelling on what you just dreamt, or even write it down if you want to keep a log. If you notice you're having recurring things in your dreams, consider doing the breathing test any time you see that thing in reality or in a dream.
Taking control
Okay, so let's say that reading this post had you thinking about lucidity as you went to bed, and lo and behold you realize you're dreaming tonight. Let's touch on a few possible scenarios. The most common is "OhHolyShitItWorkedNowWhatShouldIDoICanDoAnythingRightAndWowThisPlaceLooksSoRealAnd..." and then you're awake in bed. Keep your cool, don't get too excited lest you wake up. Go in with a plan as to what you might do -- not that there's anything wrong with taking in the scenery, mind you :P. If things start to fade, common practice is to rub your hands together or to spin around -- studies have shown that stimulating dream "senses" like sight and touch helps to keep you anchored in a dream longer than just walking where you want to go and having the only sensory change being the small change in appearance of things due to perspective as you get closer or farther away.
Oftentimes it's tough to just "will" something to happen. If that fails, know (not expect, KNOW) that what you want is just around the corner, or on the other side of a door, or maybe you've had it in your pocket the whole time. Personally, I've walked out of doors into more suitable landscapes for what I want to do many times. Trying to be a "god" and making your will be done doesn't always work. I operate on the opposite principle: dream characters know more than I do and that if I struggle doing something, I can always ask them how. One crazy personal example: an old task posted on a lucidity forum involved, among other things, growing. I struggled trying to will it to happen, but the dream was on my college campus, so I asked a dream character for help. I was given the absurd solution to grab my hair and yank it straight up to stretch (width and depth be damned!). Months later, I remembered that silly dream and tried that for shits and giggles, and it still works. :P
And Now For Something Completely Random
If you don't have any ideas on what do do in a lucid dream (and if you don't have any fantasies you'd wanna play around with, you're a pretty sad person), why not come to the TSC Convention of Your Mind? Meet other TSCers, and fuck time attacking in front of a TV Screen when you can TA Duel in first person or lay the smackdown on a few bosses in the name of TSC. Planned activities include:
1. Partake in a live action TA Duel in Green Hill 1. (yes I know donna did this alone already, but eh)
2. Alert other TSCers that this is all a dream and that they can all do whatever they want.
3. Shoot Dhaos. Suck blood from the wound to gain awesome TAing skills.
4. Swap hands with Sondow.
5. See what kind of furry PPA is. Optionally, get injected with the furry virus.
6. See if mike is as tall as they say. 8'? 10'? 20'? Taller?
7. Join SkyLights in prayer and receive a blessing from Tikal. Is it a blessing of bliss? Enlightenment? Some special power? Orange soda?
8. Obtain a Banhammer, hold it to the sky, and shout "I HAVE THE POWER!".
9. Get bit by Werey and become a were-something.
10. After doing 9, follow this up by inflicting this fate on the rest of TSC.
11. ...you know what, at this point you should have your own damned ideas.