Lucid dreaming has been an interest of mine for quite a while. Hopefully I can add some nuggets to the conversation.
If you start doing research you will see a lot of common themes to help, such as the dream journal and reality checks that people have mentioned. I believe the main purpose in regards to the dream journal and achieving lucidity is just that doing the dream journal is important to help you gain better recall of your dreams so they don't fade away. After all if you can't remember your dreams you won't be having any lucid ones. I sort of strayed away from this because I would end up with huge volumes of the journal. Instead a huge key to remembering your dreams is to avoid moving when you wake up. Just stay in the exact position you were in when waking and think about your dreams. If you do move, move back to the position you were in. It really helps. Though regarding the dream journal another benefit of it is that you can notice recurring dreams easier if you write them down and keep track which may help you the next time you are in a dream in the same sort of situation. Your subconscious will begin to go "hmmmmm something is odd about this" and it can be the trigger you need to realize you are dreaming. You may just snap right into it, or it may be what you need to subconsciously do your reality check. This can be simply asking yourself if you are dreaming. Usually that is enough to hit you and realize it. Other methods are things like looking at a clock or something else digital. When you are in a dream, but on the verge of realizing you are dreaming you probably see all the numbers jumbled on the clock. Flipping light switches is also a good one. They will not work like they do in the waking world. The one that I typically use is to look at my hands. If I am dreaming the sensation will be very odd and my hands will look very odd.
To help the chances of you perfoming these checks inside your dreams you should do them regularly throughout your normal daily activity. This will seep them into your subconscious so that you do them in your dreams. Sometimes I have done them in my dreams even without the hint that I might be dreaming. Those are always really suprising, because I wasn't expecting anything as I was sure I was awake and then bam, nope, here I am lucid.
So ok now you have realized you are dreaming. This is the first step. For me the shock was so extreme that in the early days I would basically realize I was dreaming have this great feeling while realizing this and then almost instantly wake up. It was hard to get over the shock and maintain lucidity. However with time and practice I was able to gain more control and hold it for much longer.
Once in a lucid dreams I find that if I go about whatever it is I want to explore that sometimes you can feel the dream slipping back away from you. I find that if I continually look back to my hands for a little bit to stabilize I can regain my composure to not loose it. It is a little hard to describe you just have to try it out to get a feel for it. Another technique is to spin around. I have no idea why this helps but it is a bizzare and affective technique. Sometimes you even end up in a different dreamscape than when you first started dreaming though you retain your awareness.
Some fun things I like to do in my dreams when I am lucid is to just do a thorough scan of the environment I find myself in and then to explore. It is fun when walking around to go from one scene to a totally different scene but without conciously attempting to change the scene. More like just an observer in the place you find yourself in. Sometimes going from one scene to another can start to pull you back from lucidity which is where the looking at my hands helps. Look down at them then look back up. Do that a few times. Talking to people in your dreams once you have become lucid is a fun thing to try and remember to do as well. YOu will sometimes get some really weird stuff. I have had them turn totally still and not respond like becoming lucid shut them off. Sometimes they will say they are just part of the dream and sometimes it seems like they have nothing to do with me. And of course there is the typical thing of flying which can be great fun.
All of this applies to the technique of becoming lucid while already in a dreaming state. They call this MILD (Mnemonic induced lucid dreaming).
There are other ways called WILD (waking induced lucid dreaming). I think there is a lot of confusion with terms between WILD, Astral projection and OOBE's. People definetly interchange the terms alot. I think that if WILD and Astral projection are not the same thing, then they are at least super close. As doing Kermit mentioned, it is much easier to achieve lucidity if you do the wake up early and stay up a little bit routine. This is also the same advice I found somewhere about astral projection (It might have been on Grant Morrison's website). Basically the point is that you wake up 3 or so hours before your normal wake up time. Then get up and do something. Don't just go right to bed or you will fall back into a deep sleep. You want to stay up long enough that your mind wakes up, but your body is still tired. This allows your body to be tricked into falling back to sleep with your mind active. There is a very good chance that you can enter sleep paralysis when doing this. This can be very freaky as you typically feel like there is an entity there and you are totally paralyzed. I find it very interesting that sleep paralysis and reports of alien abduction can be very very similar and most abductions take place around 3 in the morning. Regardless of that, when you are in sleep paralysis you can use it to launch yourself directly into a lucid dream or an astral projection. I am a heavy sleeper and haven't spent as much time with this as I would like, but I have more time to experiment with this now so I may get back into it. For me what I was able to do was to basically just "sit up" while in paralysis. I basically felt like my "astral body" or whatever ripped away out of my paralyzed body. Typically I would launch right into a dreamscape, but since I was there for the transition I would already be lucid. Another curious note I found there is that when you are entering the hypnagogic state while concious there will be a point where there is a crazy buzzing sound in your ears. It's been a while, but I find it curious that there is something similar with smoked DMT ( which I do not yet have any experience with). This buzzing sound was usually the place where I could pull myself out of my body and directly into the lucid dream/astral projection state. Regardless of whether you do the WILD/Astral projection straight into your dream this technique provides very vivid dreams in a light state of sleep that make it many times easier to become lucid once already inside of a dream.
Well that is a huge wall of text. I better stop now
