Lucid dreaming is when you are not only dreaming, but when you are doing so you know you are dreaming within your dream. Most people have experienced this sensation, while up to 20% of Americans say that they have these types of dreams on a monthly basis. 72% of people that do or have had a lucid dream say they have the ability to manipulate their dreams to their favor. With the ability to control your dreams, that gives the individual the ability to make lucid nightmares have a more desirable outcome. However, there is no evidence suggesting that improving our dreams outcomes have any significant effect on the outcome of depression, anxiety or any other adjustment problems, despite some researchers making those claims.
One interesting point is that researchers have yet to conclude if one is actually sleeping during a lucid dream or if it is just that people say that their dream had a lucid quality to it after they awoke. While lucid dreaming isn't as interesting of a concept as "Inception", it is still somewhat of a mystery and a very unknown experience.