If you want to learn more about lucid dreaming, goto
http://www.ld4all.com
This is the probably the best lucid dreaming site on the internet with the most active forums. You can read up on many different techniques to try and induce yourself to lucid dream more frequently.
Also be sure to check out the very active forums for discussions on the newest techniques and to read up on other peoples dream diaries.
Have fun!
Not an option available to everyone, obviously, but I found that pregnancy kicked up my dreams enough notches that I was having real, live lucid dreams a couple of times a week.
No matter the circumstances of the dream, I always took the flying option. INCREDIBLE! Those were some of the best experiences of my life… What a privilege!
I’ve had numerous lucid dreams since I was young and learned through my dreams that you can pretty much control everything in them (people, animals, places, activities, speach and sound, color, turning a nightmare back upon itself, letting a dream become a nightmare, deja-vu, etc.).
When I was a kid, I always had a recurring nightmare of pushing a purple button (while a disembodied voice is repeating, “Don’t push the purple button!”) and the classsical monsters Frankenstein, Dracula and Wolfman would pop out of the black hallways and chased me until I woke up. When I was about 10, I watched some TV show that talked about dreams and how to control them. Since this recursive dream always popped up, I made an effort to control the dream, but the outcome was very minimal at first, but as the nightmare repeated itself, I ended up controlling the fates of the monsters over the course of months. But not just that particular dream, all beings in all dreams. I also learned how to fly, but sometimes I had a limited ability to control where I was going. Some dreams were routine as if I was at work and doing things that were expected as well as conversing with other employees, but then sometimes a friend that I never hired to work for me shows up and asks to merge companies and move to New Zealand and then my mom shows up and says that Mongolia is a better place to move the company…a “virtual” untapped market. My dreams seem to start out serious, but end up being pretty bizarre in a humorous sense. Sex with supermodels who were cleaning my house in french maid uniforms was one of my better dreams, even with my wife routing me on… :eek:…ah, but she “understood”… 
Luzion linked to an excellent forum and I must also highly recommend the lucid dreaming newsgroup (I forget the exact name). The NG gets a little quackish at times though, so just be aware.
And I completely agree with ggurl. True lucid flying is an incredible experience.