I lucid dream 1-2 times a week...been doing it for years. I usually don't talk about it because if someone hasn't done it or is unaware of it, they tend to think you're insane.
A side note: I can't usually fall asleep on my back, it's weird...when I lay on my back I start imagining really frustrating situations and the second I turn on my side it all goes away. The best way I can describe the "frustrating situations" - Imagine trying to thread a tiny needle and you keep missing the whole. Like a minor task that you MUST complete, but something keeps getting in your way.
A trick I do that usually works: I have to be tired enough where I can fall asleep within a 1 minute or so on my back. So, if I wake up in the middle of the night...or pulled through a long night and I'm dying for a nap, then I'll just lay on my back and fall asleep quick enough where the "frustration" doesn't matter. I assume something about this keeps my conscious on a more aware level.
I've got flying on lock down and I love it. It's seriously like my favorite thing about it. It's hard to sit here and describe how real it feels: It's loud as hell, there's insane pressure, insane speed, g-forces, ect.
Honestly, for me, trying to have sex can be risky - shit can go wrong fast. I've had a girl blowing me turn into a demon. (similar to looking at mirrors in a dream. If you can't handle some freaky shit, DON'T DO IT).
If I catch myself slipping out of the dream, I can usually get back in my rolling my body or scratching my hands. I read these tips online and they seem to work. The idea is that, you aren't rolling in your bed or actually scratching your hands, so somehow this makes you focus on what your feeling in the dream and helps you stay in. (I think that's how it works, don't quote me on that)
For some reason, even when I'm fully conscious that I'm dreaming, I still try and ask people in the dream if they will remember. After you do it a while, it can get really lonely...it's hard to explain and there's a since of confusion sometimes. I've lucid dreamed and stayed in the dream so long that I purposely woke up because of an extremely lonely feeling that comes over me...almost like I might not get out.
On occasion, my mind tries to fool me, as if it doesn't want me to know. Dreams will start out in a "3D movie" or some scenario that has me convinced that what I'm seeing is not a dream and I should pay attention, almost as if I should just play along and should not manipulate it.
Also, I do get sleep paralysis every now and then and I cannot stand it. Before I knew what it was, and that it was fairly normal, it scared the shit out of me. I still hate it on occasion, but at least I know that it's no big deal.
Crazy Story 1: Once I caught myself in a dream because I woke up and thought I missed an important meeting, but then I realized that I had set 3 alarms and there was no way. At this point I caught myself in the dream, but here is the interesting part: I was lucid dreaming in my bed, in my house, and everything was pretty much identical, except for the fact that is was a few hours later. So then, remembering that I was asleep on my back, I laid back down in the exact position I knew I was in real life. So then it hit me: I was lucid dreaming the exact same day, room, position, scenario, and everything that I was actually doing in real life....just a few hours ahead of time (and in my own mind of course). Total mindfuck.
Crazy Story 2: I read online about a guy who liked flying to space when lucid dreamed. The next lucid dream I had, I tried it and when I hit space everything went dead silent...which I thought was odd. I later looked it up and apparently, since there are no sound waves or w/e, that would actually happen. Mind = blown.
Crazy (real life) Story 3: I was on a flight one time and woke up from a nap paralyzed. Aware that it was sleep paralysis, I thought in my head, "Oh fuck, this is going to be pretty embarrassing". To get out, I had to viciously rock back and forth and the 2 people beside my thought I was having a seizure.
I was going to make a blog about it, but then I realized it's nothing that unique and plenty of people can do it. If you have never done it though, I'd really look into it...there's nothing like being in full control of your world.
TLDNR; Shit gets crazy.