Warning:

Well first off, as I am in the beginning of my journey into lucid dreaming, I have not had the possibility of trying the ideas presented here, but if you have already fulfilled many of your wishes in lucid dreams and do not know what to do next, feel free to test these suggestions.

Introduction:

Carl Jung was one the most eminent psychiatrist's of the twentieth century and he was the father of a great number of theories about the unconscious and dreams. In his theory, the unconscious is the home of many sub-personalities that compose your whole self. Jung thought that by establishing a dialogue with these characters you could become a healthier individual (he called this process individuation). He also observed that while many of these unconscious characters were personal- in the sense that every person had different ones- many of them appeared recurrently and seemed to be universal to the human race. The latter are the ones that interest us here and I will try to suggest a way of meeting them in your lucid dreams.

The Shadow:

The shadow represents the repressed qualities, which are deemed unworthy by the ego standards and rejected from consciousness. In another words it personifies what you don't like about yourself; surprisingly enough you're much quicker at spotting these repressed qualities in others than in yourself. By integrating your shadow you can become a more complete individual overall and gain qualities which were hidden until now. In dreams the shadow often takes the form of something who tries to attack you: a barbarian, a thief, a criminal, a monster, etc...
You could try meeting your shadow in your lucid dreams by going to places you find dangerous or frightening: an unlit alley, an abandoned house, a creepy basement... these are meant as examples and it would probably work better if you use what you personally find scary. You could also summon your shadow by asking the dream directly:
-"Show me the dark part of my personality!"
-"Shadow, manifest yourself!"
Again these are just examples of what you could do.
If you are successful with these attempts I encourage you not to attack it or flee but instead try to speak with the shadow and see what it has to say; it could be very meaningful.

The Anima/Animus:

The anima represents the inner feminine in every man and the animus the inner masculine in every woman. The anima serves as mediator between the ego and the unconscious; she could guide you through the maze of your own mind and renew your purpose in life. She could appear in many forms but she often inspires awe to the dreamer and is virtuous in some way. Saint Joan, Beatrice from Dante's Divine comedy, Muses are all anima figures that have appeared throughout history, but I suspect that they must be somewhat different nowadays. Unfortunately I do not have much information in relation to the animus, knowledge about it is very scarce.
Perhaps you have already met her- she is exactly what could be described as a dream guide- if not, you could go into your dreams with the clear intention of meeting her as she will surely manifest herself in some way. You could also kneel in a knightly fashion with your sword planted on the ground and proclaim: "Anima, let me have the honor of seeing you!". Again this is something very personal and using what you come up with is certainly better.

The Self:

In opposition to the ego that only represents the waking consciousness, the Self is your whole personality. It is very hard to describe but it could related to the concept of God, the entity that encompasses everything and unifies.
You could try to have some interaction with it by asking questions like these to the dream:
-"Who is the dream's dreamer?"
-"Who is aware?"

I hope you found this useful and if you are interested in knowing do not hesitate in looking for more information about the subject (an introduction to Jung's psychology would be a great start), for I have only brushed the surface of this vast theory and there is much more to learn.

Have fun with your experiments!