As Sugarglider suggested, working on your dream recall is the first step.

I suggest keeping a dream journal, and trying to make an entry at least every night. Even if you don't remember a dream, or you think the dream was boring, write something in that journal.

Related to this, you should start waking up 1-2 times a night, right after your REM periods, so you have more chances to remember dreams.

For a lot of people, just waking up at the right time in the night, and then going back to bed will get them very vivid if not lucid dreams.

Other than that, there are so many fun techniques to try!!