I've read both, and I can definitely recommend you buy Exploring the World of Lucid Dreaming.

Lucid Dreaming is a brief introduction to the subject best meant for someone who hasn't heard of lucid dreaming, or knows very little about it. It's a good book, but for someone who's taken a look through this site, it doesn't have much to offer.

Exploring the World of Lucid Dreaming, on the other hand, is one you should definitely get. It covers just about everything from Lucid Dreaming, along with much more. The techniques and ideas it covers are fundamentally the same as the ones found here, but EWLD goes much further in explaining how they work, and how all the concepts fit together. It also covers some interesting angles that tend to be overlooked entirely, like the link between qualia and dreaming. Besides being very practical, it also contains quite a bit of interesting history, research and anecdotes about lucid dreaming. The book really deserves every bit of the popularity it has in lucid dreaming communities.