I'm relatively new to the whole lucid dreaming thing, so I don't have a lot of experience with it, however, I used to have a lot of nightmares as a kid, and (through necessity) I managed to perfect the practice of gaining enough lucidity to will myself to wake up. I really don't know how to describe the process, other than focusing intently on the idea that the "you" in your dream is not the real you. Try to move your actual, physical arm, not just the dream one, to stimulate wakefulness. Or just close your eyes and start thinking as hard as you can about what's happening outside of your dream. Just some ideas, they seem to work for me.

P.S. On the note of dream suicide, a friend of mine (who mastered lucid dreaming in under a month, darn him) needed to wake up one time but couldn't will it to happen. His solution: shoot himself. He materialized a gun in his top dresser drawer, put it to his temple, and fired. Creepy? I think so.