I have yet to experience the pleasures of lucid dreaming and it's quite annoying.
So much research on how, what and why.
So many times I've woken up and hit my head against wall for failing to see the obvious signs of my surroundings being a dream. I mean it's so blatantly obvious sometimes, I really don't get what the problem is. Kinda make me feel stupid.
I go to bed with the intention of having a lucid dream. Every single night. With the exception of those night where I just go to bed telling myself to have a lucid dream "...you know, when eeever you're ready", which is still intending to have one I guess.

I've tried so many methods of inducing them, that I can't remember which ones I haven't used yet.
I've tried forcing it into my head with mantras containing some harsh language and threats.
I've tried negotiating with my self-concious.
I've tried meditating to focus my intent and even tried to connect with some astral beings (probably a long shot) to ask them nicely to come into my dream, slap me in the face and tell me I'm dreaming.

Since I came here, I've developed excelent dream recal, I keep a journal, I do my fair share of reality checks, I've recenly got a digital watch that beeps every hour, I've found out a great deal about my sleeping patterns and REM cycles. I understand my dreams allot better, I've have a couple very nice dreams which thanks to my dream recal, I can remember in vivid detail.
I'm also aware of the recurring dream signs, though they are fairly weak, so I'm not sure if they help much. For example, my surrounding being dark, either in sepia, or black and white or tint of red.

Either I'm a very tough nut to crack, or I'm just unable to get lucid.