I had all kind of different reactions about the characters knowing that they were in a dream or not. In one particular dream, it was funny that they were trying to convince me that "This is the only reality that exists. You are here and here only." to which I answered "I know this is a dream because I can still feel my body sleeping in the bedroom".

That character was actually in my apartment in the dream, so he went to my bedroom and then said: "See, you are not in the bedroom".
So I explained that in the real world, for me, I was in my bedroom. In the dream, I was in a similar apartment, but in the living room. As the discussion was not going forward I decided to show that I could manipulate "reality" to which the characters (there were more people in the dream) were quite amazed.