You know that you're dreaming while in the dream.
This is supposed to be an extraordinary type of dream, because it allows you to observer yourself or to consciously make decisions. For example, if you're in a nightmare, you may decide that you had enough, and want to wake up. Which makes that nightmare also a lucid dream, although perhaps a very short one.
One day, you may notice that you're wondering what your dream means, while still dreaming. That too counts as a lucid dream.
So, now we established that lucid dreams are quite natural, would you like to know what more can be done with them?
Many people enjoy being aware of the dream just to observe what happens. The experience of lucidity can be quite rewarding on its own. It is as if a larger part of your brain has been switched on. Which, by the way, is true.
However, if you're new to it, you may want to experiment. What if you did things in the dream slightly different than you would during the day? There's no risk in dreams. If you don't like what happens, you simply wake up.
Experienced lucid dreamers not only change what they do, but also where they are in the dream, and with whom.
Some believe that dreams have some kind of important function that we don't understand so we should stay away from changing a dream. Yes, spooky stuff. However, awareness within a dream is quite natural and anyone with an ongoing interest in dreams is likely to discover that it really doesn't matter. On the contrary, lucid dreaming can be quite exciting!
You want to play? There are techniques to get lucid dreams. The easiest way to do it is to just treat it as any other request you want a dream for. There's a short text on this elsewhere.
Alternatively, if you want to work it, there are many techniques, all based on paying attention to which reality you're in. The most famous one simply asks you to look at your hands. Looking at your hands, do you think you are dreaming right now? Eventually, you'll find yourself doing the same thing while dreaming. At which point you should realize that yes, in fact, I am dreaming.