I have had lucid dreams coming naturally before I joined this site. But I successfully had a WILD (Waking Intention Lucid Dream) the first time I tried. You basicly try to keep your mind awake while falling asleep, resulting in you being fully "awake" through most of the dream. It is a very cool experience to go through the dream stages, and I would definately recommend you to try this method.

I have only used it about twice myself, though. I usually feel like sleeping and I'm too tired to attempt doing it. And I also think normal dreams can often be more interesting, since I don't have as much control in them.