Kind of depends on what you think your parents' morals and interests center around.

If you have really religious parents, they might not like the concept of lucid dreaming, since they may think you'll "abuse" your dreams in "immoral" ways. People like this also tend to be workaholics, so as AlexLou said, they might view it as "unproductive" as well. If you have parents like this, I suggest you don't tell them.

On the other hand, if they're easygoing and have interests in the areas of the supernatural, paranormal, fantasy, etc., then they'll probably have open minds about it. If you have parents like this, I say it'd be okay to tell them, since the worst you'd get is a raised eyebrow and an "Oooookaaaaay..."