I didn't know what it was called, nor did I purposely train myself to do it, but I have lucid dreams all the time.
Hehehe... they're fun!
Anyway, the first one I remember was way back when pokemon was popular. I was dreaming about the TV series and suddenly realized 'Wait a minute, I'm IN a cartoon. WTF?" Then I (dream self) bit my tounge as a reality check and felt no pain. I promptly turned myself into some version of mewtwo from the first movie, and started pwning everything else, throwing around vortexes, ripping chunks out of the ground, etc.
Recently (in the past several years), I haven't had so many dreams due to a distinct lack of proper sleep. Whenever I do have a dream that I still remember in the morning (not usually very clearly, but I remember I had a dream), I also took control of it at some point. Some of the time, my undies are wet for
some odd reason.
Those times, I sorta wish I remembered the whole thing.
Usually, the problem is that the dream ends too soon after I seize control...
If I were playing baseball, I'd hit the ball so hard that it'd burst into flame, scream out of the park, and split the bat in two. Then I'd run around first base, reach second base within a moment of the baseman catching the ball, and leap five feet over his head to the base. Then I would go around third, and halfway back to home plate, time would start to slooooowwww dddoooowwwwnn and *snap* I'd wake up.
EDIT:
A little help on how to train yourself?
Sure, no problem.
Start biting your tongue hard enough that it very clearly hurts, just as a reality check while you're awake. Bite down the moment you find anything even slightly unusual, or get a sense of deja-vu or whatever.
Recognize someone you can't name? Bite.
Just did a double take? Bite.
Just see something awful happen? Bite... though you probably will be too caught up with the nightmare to remember this.
Just realize that you skipped a common habit of yours? Bite.
Doing something silly on stage in your underpants? Bite.
Doing something that you too-late-realize is very embarrassing? Bite.
Make it a habit, not an obsession. You probably have a few decades to get it.
Don't worry about all that causing much damage to your tongue. You probably aren't mentally capable of biting hard enough or long enough to cause any problems.
THE KEY IS TO NOT EXPECT PAIN. If you're expecting it to hurt, and you are dreaming, it will still hurt, and the purpose is defeated.
Eventually, you'll bite down and it won't hurt at all.
Congratulations, this means that you are now aware that you're dreaming. Feel free to try whatever the hell you want. You were having a nightmare? Try letting a beast eat you and make its belly teleport you wherever you want. Try not to get too caught up in any one thing (like what the teleporter tunnel/esophagus should look like or how long it should appear to last), because you might get sorta... stuck at that point, until you wake yourself up or fall into another, less lucid dream.
2nd edit:
I once (while doped up on some meds for some chickenpox or measles or whatever at the age of seven) managed lucid hypnogagia. I was falling asleep and I attacked some robot near my house, when I found out that I could bite my tongue and feel pain. I could open my eyes, see the room, and move my body a little, then close them again and see the robot. That was interesting, but not very pleasant.
Final note of advice: Don't think about this too much in bed. It'll keep you awake longer and make you less likely to dream coherently.