Spinning works for me.

I would hesitantly second the suggestion not to have sex. (And for those of you who read my dream journal: do as I say, not as I do! ) It does tend to destabilize the dream. On the other hand, the few times that I've managed to have lucid sex without waking up, it was a-m-a-z-i-n-g. But that's only 2 or 3 times out of.... well, a lot.

One thing I would definitely say not to do is to think too much about your waking life. Thinking about things like your job, a project you have to do for school, a fight with your girlfriend/boyfriend, even what you're going to have for breakfast when you wake up - this will put you in the fast lane to waking up. You want to focus as much of your cognitive resources on the lucid dream as you can.