Actually, when I was experiencing my first lucids (probably 1-10) I would get a very characteristic "shudder", as though my dream were shivering like the back of an animal when a fly lands on it. The dream would shiver, then stabilize, and then I'd either continue the dream or wake up.

Now the only characteristic thing that happens is that I often start laughing at myself for taking so long to realize that I was in a dream.