There are recipes around that explain how you may induce lucid dreams, but I never follow them - I have experienced this state periodically and without explicit planning since my childhood, without paying too much attention to it. Recently, however, I have discovered I have the power to obtain a lucid dreaming state starting from awakeness. This is a much harder trick to pull off, and it has a name of its own. It is called "wake-induced lucid dreaming" (WILD), and it is an even more spectacular demonstration of the power you can achieve over your brain activities, with some training.
To achieve WILD, I start after some hours of sleep, toward the end of the night. It works best if I am well rested and completely relaxed. I find a very comfortable position in bed, I close my eyes, and I try to create an image of an object. The more detailed that image gets, the better it works as a starting point of the dream. When you can touch it, you're on. Recently I had excellent results picturing a door in front of me: as the door becomes more distinct, I imagine that I push it or try to open it. As I do, I can see my hands: that is the true signal that I have entered a lucid dream phase - as I am perfectly aware that my hands are in the position I took when I started the process, not over the door I am seeing in front of me.
The door image works well also because it acts as a direct entrance of a dream world. If you picture a telephone or a chair, once you grab it you're still in your home. Instead while I am creating the image of the door, the thing is still ideally located next to my bed, but after I open and walk in, I am immediately projected in a totally different place. And from here on, I can dictate the events - to some extent. I do not want to control everything, nor do I think I really could: my brain in fact retains some choice of what to present my half-consciousness with. That is actually the best part of the whole thing: this dialogue between your consciousness and subconsciousness makes the dream what it really is - not something you entirely consciously create, but rather something your conscious self wishes for, and your unconscious part somehow creates for you. As an example, I may wish to meet a beautiful woman, but I do not know exactly what her appearances will be like or how she will behave until she appears, in circumstances I did not decide consciously.
I believe lucid dreaming is a very empowering experience and I do encourage you to try and explore this possibility. You might start getting some advices at this site, which contains a lot of information. And let me know how it works for you!