http://www.lucidity.com/ is a good website on the subject, if you ignore all of their urges for you to buy their stuff, and just read the articles.
I absolutely love lucid dreaming.
The strangest lucid dream I've ever had went like this:
I'm in a shopping mall, in some shop, looking at lava lamps that were on display. But suddenly something goes wrong. One of the cords for the lamps is faulty, and the carpet catches fire. The fire is spreading across the carpet towards me, everyone is running away from it, except me. My friend Ben is there, he grabs me and tries to push/pull me towards safety.
But I suddenly realize I'm dreaming, and something occurs to me. 'I've never died in a dream before, I wonder what it's like.' So I decide not to run. But Ben's still there, so I pretend to go with him, and then let him get ahead of me. Then the fire is really coming fast, I get scared and start running, but not towards safety, I run towards the opposite store, but I trip and fall. The fire comes toward me.
I wake up. My whole body gives a very strange shudder. I'm aware that I'm in my bed and of what I've dreamed. I fall back to sleep immediately.
I'm still in the same dream, in the same spot. But there's no fire. I'm laying on the floor where I fell, and I don't know if I'm dead or alive. There's no one else around at all.
That's all I remember, strange, eh? The rest of my lucid dreams have been pretty silly. Like the time I realized I was dreaming, and because I'd never had a flying dream before, I decided to try it. I ended up flying around the lobby of a movie theatre (because that's where I was in the dream), and in another, I made the guy I fancy appear, and we iceskated O_o