This is a very easy question for me, I have had more lucid dreams than i can remember, and I always feel terrified when I am aware that I am dreaming. I have been able to lucid dream for years without any induction/force - simply by identifying my surroundings as unreal. In this state I am unable to experiment to much due to the fear level and the desire to get out. This goes back to nightmares as a child - where on becoming lucid my goal was to find a technique to wake up!, not STAY lucid, although prolonged dream lucidity before waking up usually occured, I would occasionally get lucky and get out of a nightmare by rising into the sky flying away from the danger, or extreme fear like being charged at by a demon, or suddenly just falling from a cliff - would waken me.

The feeling of extreme fear (I have learned) is usually a sign that I am dreaming, as I never enter this state to any such extremes in waking life, particularly without obvious reason. Meaning i can become scared in a dream (to the extent as though a guard dog just jumped a high fence and charged me with nowhere to escape) and become lucid before I am in danger - although this isnt always the case. Staying lucid is easy, because the fear stops me from relaxing so much in the lucid dream, that you become unlucid. Obviously this is unique to me, and different people may react differently on realisation that they are lucid.

I have several of my own "Am I dreaming?" tests which are any of the following occurances:
Breathing underwater
Having a drink or food - but thirst or hunger not satisfied at all.
Not being able to account for how you are in this situation.
Looking at text, looking away and looking back it changes
Obvious faults if present (eg. you are in your house but a window is gone!, or on another wall, sunset at a place you know but the time is morning! etc.).

I have also noticed that the only time i EVER ask myself "Am I dreaming?" is in a dream, if I do this in waking life as an exercise ever, I feel sure I am not dreaming without running tests like accounting for where I am, how I got to be there, what i was doing 5mins ago etc.

One last point ill squeeze in - is ive noticed (personally) that if I think I am dreaming, and actually ask a dream character (which i do alot) - they ALWAYS say no. Even when I can sometimes proove that it cannot be real by things like sign posts saying "Fighter fighters" being nonsense, they will insist no, it isnt, you seem real enough to me etc.. On absolutely prooving to a dream character I AM dreaming they become aggressive and come to attack (more often than not) the fear of which wakes me up.

IN SHORT: When I am in a lucid dream my primary feeling is fear.