I've been practicing lucid dreaming. The best method I've found is to get in the habit of frequently checking digital clocks and watches. If you're dreaming, more often than not, the time on a digital clock will change rapidly and randomly every time you look at it. Also, if you are starting to wake up or afraid you will, making yourself dizzy or waving your arms wildly in your dream will usually force your mind into submission and keep you asleep.
Also, interrupted sleep is conducive to lucid dreams. Letting the alarm go off at 5 AM and again at 6 and then sleeping til 8 seems to produce good results. Unfortunately, I can't do that, since I have a roommate, so I usually end up with less than five-minute periods of lucidity because he just punches the 5 min snooze button about a dozen times.
If only it could be done more easily and consistently, lucid dreaming could be the best possible form of entertainment...imagine having a couple of hours every day where you could do absolutely whatever you wanted...