Welcome to DreamViews!

1) Since you're lucid, you should know that you're dreaming and nothing can hurt you. I guess you could have a nightmare with scary stuff, but it wouldn't really be frightening because you'd know it's just a dream.
2) Rub your hands together and/or spin.
3) I haven't had any that've lasted long enough to be worthwhile, but some people on this site have incredible adventures.

Happy dreaming!