A lucid dream is simply one in which you're aware that you're dreaming.
I remember studying the Sun-eye method of having a lucid dream, over ten years ago, but it's really a time-consuming task. Besides preparing yourself for sleep, you have to set your alarm, wake up, read about lucid dreams for an hour and then go back to sleep. I tried it a couple of times, and had one lucid dream. One thing about the method terrified me... they say that afterwards you might wake up temporarily paralysed, unable to move anything except your eyes.
Recently I've been trying self-hypnosis mp3's and realized that there may be a self-hypnosis mp3 which can induce lucid dreams. I found "Sleep Hypnosis for Lucid Dreaming by D.Min, Mft Holly Holmes-Meredith" on Amazon.co.uk for less than £1.
I tried listening to the relaxing story every night for about four nights, with no effect except feeling very relaxed. On the fifth night I realized I was dreaming. I looked around and everything seemed to be crystal clear around me... an amazing experience, but it didn't last long as I felt myself waking up. One is supposed to try spinning, or according to the mp3, rubbing one's hands together, in order to remain asleep. As I woke up I tried spinning in my dream, but I was unable to stay there and woke up.
I tried the mp3 about three more times, and on the third time I realized I was dreaming and found myself in some country that I felt like I had travelled to before. I remembered my previous lucid dream, and tried to just relax and not see everything in high definition. I think that's what kept the dream going for a lot longer. Eventually I started waking up, and, trying to remain in my dream I would attempt to rub my hands together. Unfortunately when looking down at my hands I realized that they weren't there. I tried spinning, and I think it may have worked had I not been thirsty.
I woke up, and wanted to have a drink of water, but my body refused to move. It wasn't scary. It was simply interesting. I tried harder... nothing happened. I remembered that if one wakes up paralysed, one simply has to wriggle one's toes... but I was sort of enjoying this new experience. After about a minute I realized that my fingers were easy to move, and I got up and had a drink of water.
