Most people (I think) have Lucid Dreams towards the end of their sleep cycle. Mine tend to occur on weekends when I have a chance to lie in a bit longer.

What I've started to do recently, a tip I got from a book, is set an alarm for 2 hours before I am due to get up, stay awake for 15-30 mins (read, have a glass of water) then lay back down to sleep. I slip into lucid dreams easily, in fact recently as soon as I've started to dream after doing this I've become lucid almost straight away. Not with any major sign or anything, I think having just woken up to increase the chances of Lucid Dreaming, then gone to sleep thinking about it, as soon as the dream starts I've went lucid.

Good luck.