"Lucid dreaming (also known as dream consciousness or conscious dreaming) is dreaming while being aware that you are dreaming. To actually have a lucid dream you merely have to recognize that you are dreaming.
Realizing you are dreaming may not seem all that special, but becoming aware that you are dreaming presents the opportunity of controlling dreams. The idea is that once you are aware you are dreaming you can alter your dreams and dictate what happens: you can do anything you’ve ever wanted and go anywhere you’ve ever desired. Furthermore, everyone can learn how to have lucid dreams.
Sound too good to be true, or perhaps a little too “new-ageish?” Lucid dreaming is very real and very possible, and there are many practical and down-to-Earth reasons to experiment with lucid dreams. Are you a little apprehensive over the idea of controlling your dreams, for various reasons?
You can also use components of lucid dreaming to simply aid in dream recall, to provide you with more of an opportunity to deeply explore your dreams, and to even help increase the chances of you dreaming about things that you’d like to dream about—without having control. Regardless, we are getting ahead of ourselves here. A good place to start is with a more complete explanation of just what constitutes lucid dreaming."
I had my first lucid dream when I was 6. I learnt about lucid dreaming when I was 16.
This site is pretty well organised.