Annoyance

Every single time I have a lucid, I'm just like "sweet" and walk around like a rockstar Just knowing that I'm in a dream, than I wake up really annoyed with myself that I didn't try to do something cool like fly, or build my own kingdom, or go to another planet. It happens every single time. I just don't think to do anything. Has anyone had this happen before? Help?

Mnemonics before bed and whilst going to sleep can help. A simple one would be to say (or think) "I will remember my intention". Another idea, which will also help with mnemonics, is to plan out your dream beforehand. You could draw the general dream scene or write a brief narrative about the beginning of the dream and include a dream character reminding you of your intention.

If you're short for actual idea, flying and sex (and perhaps flying sex) are the ones that most go for. You could also try meeting your dream guide, who will have ideas of its own. At the very least, you should have some interesting conversations with said entity.

Finally, using WILD generally allows you to have full waking-level awareness and memory, straight from the dreams start. Good luck and remember that you are literally only limited by your imagination.

It's not uncommon, one's memory of waking life in dream can be different from normal especially on low awareness, but what splodeymissile said can indeed help. Also do you have a goal list? If not, make one and read it some times through the day and especially before going to sleep. :)

This is a problem I usually get too. What I do now is I always have 3 simple tasks I want to complete and go over in my head what they are before I sleep and sometimes through the day. If I complete a task I replace it with another. I'm finding this helps me as I sometimes remember to try and do these where I would otherwise just wander mindlessly. At the moment one of my tasks is to do the dream stabilisation I have planned at the beginning, because I usually forget to even do that!

What your memories are in waking life aren't necessarily what they are in the dream world, which is why mnemonics and such are so important. I would think that what you need to do is to set a few lucid tasks before you go to bed (as the above[s] have already said), repeat it to yourself before you go to bed--or at the very least at some point during the day--and see how everything pans out from there. I think that there's a good chance that the more you set your intentions out beforehand, the less you'll find yourself wandering around even if you don't have any goals.

So good luck!