Yes, I have some experience with lucid dreaming about 15 years ago. It is a hell of a lot of work to achieve a lucid dream (without using any technical help). As far as I remember the technique involves trying to fall asleep while maintaining consciousness (which is very difficult to achieve), and also doing regular 'reality checks' (am I awake or dreaming?) during the day. Stephen LaBerge did a lot of research into lucid dreaming, and his books are useful guides for learning how to LD.

The main use-case for lucid dreaming is fun. Being in a dream and being able to control it and fly about in your own dream world is a pretty amazing experience.