This is a clip from a movie a friend once loaned me called "Waking Life", which is made to resemble what a lucid dream would look like to someone who is awake. I have yet to get through the movie without feeling sick and ending up asleep on the floor.
A lucid dream is a dream you dream and you know while you dream that it's a dream. There are two types of lucid dreams: A person can be having a normal dream, and something in the dream happens that makes them come to the conclusion that this couldn't possibly happen in real life and therefore they must be dreaming, or a person can walk themselves from a state of consciousness into a dream state. The good thing about lucid dreaming is that, since you are aware that you are dreaming, you can control what you do and what happens in the dream.
At some point, everyone has experienced a lucid dream. There aren't very many personal examples that I can recall off the top of my head, since I usually can't remember my dreams after I wake up. I do, however, remember that there has been a recent instance where I didn't like what was going on in the dream, was suddenly able to recognize that I was dreaming, and began changing around what was happening in order to prevent it from turning into a nightmare.