I think most of them are afraid.
Last year 48 people died from lucid dreams. They just suddenly burst into flames while having lucid dreams.

...Heh. Just messin'.

Some just aren't interested because they don't realise what it really is like. Some try a few times, and can't do it. Some deny its existence. Some are afraid of disrupting the sleep pattern (Ha).

As far as evidence for its existence, lucid dreaming has been scientifically proven.
They put 25 people, who claimed to have lucid dreams a lot, in a room. They told them to go to bed, and when they knew that they were in a dream, to move their eyes in a certain pattern. They did this every night for weeks. They monitored the subject's brain activity so that they could prove that the person was in fact asleep. They proved it over and over. They even studied ways to induce them, and found that flashing lights in the person's eyes, and warning them about it beforehand, increased the likelyhood of lucid dreams.
After the experiment, they took all of the test subjects out back and shot them with ... Uhh... AK47s!

Okay, Actually, I made that last part up, but it sure made the story sound cool, Heh.

-sloth