Well, if at least knowing you're dreaming counts as lucid (and just going along with the insane "computer-generated" plot just for the heck of it), then my first lucid dream was me and a Mario pillow/doll I used to have fleeing from this giant Dr. Mario, all in a city setting, very Godzilla-ish. That was basically it. See, right then I knew I was dreaming, but I didn't know that I could take control of my dreams. That came later...although I don't remember the first dream I took control of.