They used to have these goggles you could wear as you slept. A red LED light would blink once they sensed rapid eye movement. You could train yourself that the red flashing light is a sign that you are dreaming so that you can become lucid while dreaming.

In the last 10 years, I have had a total of 2 non-lucid dreams. (Actually I think they were more hallucinations but you get the point.)
If you're just starting out with lucid dreaming, I'd recommend self hypnosis right before you go to sleep. Once in a dream you'll need a trigger to know that it's a dream. One thing that most people use is a light switch. With the self-hypnosis tell yourself you're going to use a light switch in your dream and that it won't affect anything. This will give you something to latch onto so that you can realize that you're in a dream.
Once you know you're in a dream controlling it is easy. It's your world, in your mind, playing by your rules. Just remember that YOU have no limits, and the limits of the world are simply those that you decide them to be.

Eat lots of cheese.
Oh wait, that's bad dreams, isn't it? Well those can be fun too. I haven't had very many lucid dreams. Mostly because many of them are too surreal to be properly interpretable.

^^ This. In fact anything that classes as a poison. Alcohol is good but don't get too drunk that you pass out as thats not actually sleeping.

Take the Red Pill ;-)

Very funny, Lou :). But seriously, got any tips?

Navagon gave you the answer. Cheese. If your body is processing poisons then you are more likely to dream.

Wow. The answer to lucid dreaming has been staring me in the face this whole time. Turns out the secret to godhood is cheese. I'm going to go grab some right now :)
EDIT: this better fucking work. I just ate two slices of that Kraft processed shit.

I don't lucid dream, because I have these crazy vivid nightmares that I love. They're just filled with wonderful, original material that would be great for a horror story. If I had the creative energy, I would turn them into novels, but right now all I have are summaries I type up every morning I have them.
Sometimes I also have dreams where I'm at an unfamiliar place, doing a specific action, and a few weeks later, I'm actually doing that action at the unfamiliar place. It freaks me out every time, because in my dreams I made a mistake that gets me in trouble, but in the real world I do that same action and no one seems to care. I may be a little crazy, but I'm convinced this is more than just deja vu.

No offence bro, but sauvignon, you're into some weird shit.

I have had a few lucid dreams over the years, but their occurrence was totally arbitrary in nature and I did nothing to knowingly initiate them, so I can't really give any pointers.
Also note that some people can be more open to lucid dreaming than others; if you have never had a lucid dream before it may be more difficult to achieve even with a "guaranteed" method. It's also possible to have a lucid dream but not be fully aware until later in the dream (or even shortly after waking) that you were in fact bending the dream to your will rather than experiencing a normal dream.

Well you name IS the cheese... ok bad joke.

Hypnosis? Why? And goggles? Really? Lucid dreaming requires none of that shit.
Just get Exploring the world of lucid dreaming and you're pretty much set. And keep a dream journal. I just started out myself, only had 3 LDs in my life so far. It's lots of fun, was very successful in my last one. Successfully manifested a person in my dream, also did flying.
Here is a channel dedicated towards lucid dreaming: http://www.youtube.com/user/lucidipedia#p/u
Have fun.

If you want to lucid dream, play more videogames:
http://www.livescience.com/culture/video-games-control-dreams-100525.html