You can train yourself to control lucid dreams. Believe it or not, I've actually done this a couple of times - the last time was several months ago, so they're few and far between.
What you do is realise that you're dreaming in the middle of the dream. Normally, this realisation will "kick" your brain into waking you up back into the real world, but before you get kicked, you fixate on something inside the dream and interact with it (I usually pick the nearest female human under the age of fifty and start boning her), prompting REM sleep to continue. It's not crystal clear like the waking world - everything is still in that fuzzy dream haze - and unfortunately they're quite rare these days, but I have fond memories of being able to fly like Superman and walking through walls at will, but I still prefer fucking women I see every day who are normally out've bounds