Loosely defined, a Lucid Dream is when you know you are dreaming but are still in the dream itself.
They can range from as little as being aware you are dreaming and waking yourself up . . . all the way to being able to manipulate the very fabric of your dreams.
Some highlights from my experiences:
I taught myself to control my dreams by six years old in response to the "Scaries". I noticed that the pattern of fear in the dream far exceeded anything I experienced in real life. I thought about it when awake, and then learned to wake myself up if the fear escalated to high.
Later I was able to end the nightmare and stay asleep with a limited amount of control. I hunted Freddy Cougar all through my dreams lol. We ended up 3-2-1. I ended up killing him 3 times he got me twice (once very convincingly, I thought there was going to be blood on the ceiling, damn that hurt) and once we drew.
Another odd encounter in a lucid dream(I think I was 16): I was wandering around(in the dream) and a friend gave me a lift home. At the end of the ride I turn to him and say:
"You realize that you don't exist, I'm dreaming, you're just a figment of my imagination." He looked at me and replied, "How do you know we are not both dreaming and sharing an experience on an unconscious level".
Well . . . we agree to call each other about it, and when I brought it up to him again, he didn't remember it lol.
I'd be interested in seeing any of your experiences . . .
Here is a basic FAQ:
http://www.lucidity.com/LucidDreamingFAQ2.html