I think that the main thing to try is to stay calm when you realize you are dreaming, and DON"T THINK about waking up. Don't think about the fact that you are dreaming. Think about what's around you. Think about the dream and how real it feels. If you concentrate on how real it feels, it will actually make the dream feel more real. Your thought process has a larger part to do with your dreams than most people realize.
It's alot like flying in a dream. The instant that you think that you MIGHT not be able to fly, it will happen. In the same aspect, the instant that you think that you MIGHT wake up, you will. There is no time to pull back once this thought gets in your head, either.
So, the instant you realize you are dreaming, stand still, like the others have said, relax, and occupy your mind!

-sloth