For those interested in lucid dreaming,
this freely-available book is a fantastic read and had some strategies for how to start having them. Basically it's just a skill like any other; start with learning to remember your dreams (keep a dream journal), then practice some 'reality checks' to see if you're dreaming or not. Yeah, that sounds dumb, but if you never ask if you're dreaming when you're awake, it's not very likely that you'll do it when you're asleep, either.
My reality-check of choice is to pinch my nose closed while simultaneously trying to breathe through it. If you can still breathe, you're dreaming. (And it feels freaking freaky, too).
Nowadays I generally use the
WILD technique to initiate lucid dreams -- it is very fast and effective once you get the hang of it, and as a bonus you get to experience (and remember) the hypnagogic state / dream transition in its full glory.