I've had lucid dreams a few times, in fact I've been trying to induce them for quite some time now with little success. It seems that they are more likely if you relax completely with no body movement whatsoever, until your brain thinks you're asleep and starts dreaming. The trickiest parts are recognising when you are dreaming and then maintaining that level of lucidity without the shock of realisation waking you up. The first part involves testing the reality of your surroundings; if you can establish some sort of routine in which you do a reality check after a certain trigger, say switching on a light, then if you encounter that trigger in your dream and you don't get the expected result, you're probably dreaming (electrical devices such as lights tend not to work in dreams). I've gone lucid after trying to pull some plastic wrapped item from a power cable which was threaded impossibly through one of those punched holes that shops use to hang them from display hooks; then realising how impossible the scenario was, I immediately ran to switch on the light and couldn't. I was so excited at having achieved lucidity that I immediately woke up, which could have been avoided by, of all things, spinning around in the dream (I've tried this, it does work). Trying to do something excessively improbable, such as flying, before your lucid state is fully established will also kill it.
At the age of five, Skagra decided emphatically that God did not exist. This revelation tends to make most people in the universe who have it react in one of two ways - with relief or with despair. Only Skagra responded to it by thinking, 'Wait a second. That means there's a situation vacant.'