There were a few rare occasions earlier in life where I would realize that I'm dreaming during the dream—that was my introduction to lucid dreaming, but I always thought it was normal for those to happen occasionally and didn't realize at the time that they were particularly special and that there were some people who didn't get them. For a long time, I never could figure out how to actually control things that happen in the dream, though.
In recent years, I started getting more interested in them when I started learning that it actually was possible to achieve fun things with practice. Also, I really love having the opportunity to screw around with stuff in dreams, trying to figure out what makes them tick.
Flying for me took ages, though. I've always wanted to do that. I had to keep at it persistently for many months or longer, but eventually I finally got to the point now where I can fly (or at least hover in midair) with pretty much 100% reliability. It's impossible to resist now—I do it in every single lucid dream (it's actually the main method I use now to determine whether or not I'm actually dreaming). Unfortunately, I'm still trying to work out some annoying limitations where I inexplicably can't go above a certain height or speed for some reason. I need to get past this so I can start exploring outer space.
I've occasionally been able to do other interesting things like making things happen or objects appear and even (a couple of times) change the sky different colors at will. My main priority for now, though, is to overcome the big challenge of making arbitrary characters appear in the dream when I want. This is another really hard one for me, like flying used to be, since it's another thing I really want to do (the stuff I want to do the most always seems to be the hardest, but it's worth it).
Another fascinating effect for me: I seem to have temporary amnesia of most of my real-life memory during most dreams. I often can't remember much of real life, and if I keep trying, my memory tends to totally fabricate some nonsense and fool me into thinking it's a real memory. It's as if dreams put me inside a “virtual machine” and filter access to my long-term memory without making the filter's existence obvious. (This isn't limited to lucid dreams, though; false memories are actually a regular feature of my dreams.)
Everyone else seems to have somewhat different experiences in these areas, though, which makes this whole thing even more curious.
Lucid dreams are great until you realize you're trapped.
I'm usually “trapped” in lucid dreams myself. I found that out early on, when I would get frustrated not being able to leave a dream when I got bored of it. But nowadays I have no rational reason to end a lucid dream. They're just too fun for me to voluntarily leave, and I never run out of ideas to try.
Ever had the Tetris effect? Sometimes it is a lucid dream, and I have had this happen to me several times in my life.
I have that effect, although rather than affecting actual dreams, it tends to instead affect my mental (non-dreaming) thoughts just before falling asleep. There's a point as I fall asleep where my mind starts to wander entirely on its own, just as if I were dreaming except it's still taking place in my mind rather than actually replacing my sensory input like dreams do. It's difficult to detect, though, because I've generally also mostly lost consciousness at this point. In rare cases I go back to full alertness instead of to sleep and get lucky enough to remember roughly what was going on.
I remember once when I was falling asleep and imagined ejecting a DVD from the drive in my computer. My mind then for some reason decided to make the DVD shoot straight up into the air while wildly spinning like a flying saucer as soon as it came out, startling me back awake. I found that quite funny.