Lucid dreaming is something that I used to be practically an expert on when I was younger, and have since (sadly) lost the ability, although I do experience some lucid dreams off and on now and then.
When I was young I had all sorts of horrific nightmares. This wasn't some monster chasing me or getting taken away by my parents or anything, this was like realistic mind-numbing terror. For instance, I once had a dream when I was probably four, that my family and I were at a carnival or circus or something, and everything's all cool and dandy. All of a sudden, people scream in terror, and there's this wall of twinkling multicolored circles that drain life away from everything that it passes. Like, literally, watching the grass die as it passes by and the sky turn gray. Cue us running away, and then my dad trips as we turn a corner, and I get a cheesy movie shadow silhouette of him struggling and then falling to the ground. My mom carries me away crying, but then she trips as we get out to a street and breaks/sprains her ankle. We climb to a bench nearby and she tells me to run away and leave her, which I decline to do until she forces me to, and I watch as the circles consume her and she turns into a skeleton and crumbles onto the bench. The rest of the nightmare with me escaping to an underground dome doesn't make any sense, but it gives you an idea into just how scared I was of dreaming at all, since this happened more often than anything nice.
I talked to my dad about my nightmares as I was actually afraid of going to sleep. He told me of an episode once, when he was younger, that he was able to control his dreams and detailed it. That very night I started to have a nightmare and I remembered what he said. All of a sudden, the realistic nightmare world was gone and in its place a sky-blue color that expanded in every direction, and all sorts of cool kids stuff started flying around and everything was awesome. He was stumped the next day when I thanked him and told him it worked.
Since then, I was able to keep the realism when I gained control of my dreams and eventually got to the point where I started the dream 'in control'. I would actually choose exactly what I wanted to dream of that night, and I could continue a dream that had occurred over a span of many nights, almost like experiencing a second reality. When I started dreaming, it was what I wanted to dream of and took the course I always wanted it to, whether consciously or subconsciously.
That continued up until about mid-high school (although generally waning in strength) when I finally broke up with my girlfriend of about three years when I couldn't take her constantly cheating on me any more (She didn't sleep around, but she didn't have the 'hands-and-lips-off' policy I would have wanted). After that I was somewhat of a mental wreck, nothing too bad but clearly deeply affected by it, and gradually just lost the ability to dream at all. I started dreaming again about a year after very sparsely, and I've finally been able to lucid dream on a couple of occasions this summer. Still, a far cry from how good I was when I was younger, and I really miss it.
I've also never been able to do 'reality checks' doing anything like pinching myself or biting my tongue or anything like that because I will actually feel it in the lucid dream (probably because mentally I expect it to hurt). When I was younger, I simply slipped from planning my dream into the dream seamlessly so there was no real reason to do a reality check. It wasn't fool proof, and often I'd have semi-lucid dreams... dreams I knew I was having but figured that I'd let them do their own thing for a change rather than letting me control it. Now I have to rely on certain cues, like seeing a part of my house that is CLEARLY not how it is in reality.
I especially dislike the 'slowly waking up' part because once this summer I was finally able to lucid dream but was so close to waking up that when I tried to move my arm in the dream, I actually moved my arm and it jolted me awake. Bleh.
Hope this is a helpful or interesting account for anyone to read.