I only become lucid in dreams when something really messed up is happening. The first time this happened, I remember I was dreaming about being hunted by vampires. With the vampires catching up to me, and ready to attack me, I realized... hey, this isn't real. I'm dreaming, I can just wake myself up. And I woke myself up.
Unfortunately, that's the only time I seem to "use" my lucidity in a dream - when I need to wake up because bad stuff's going down. I wonder if we consciously tried to dream lucidly if that would affect our success at it... I seem to just go along with the flow in most of my dreams, but I wonder if I went to sleep every night thinking, "I'm going to control my dreams tonight," if that would help...
I know remembering dreams can be aided by thinking hard about the dream immediately after you wake up. Just recounting the story and details in your head, even, can help you retain your dreams. There's even the little trick I read about in a dream analysis book (dream analysis might be bunk, but the technique might still work even if you're not concerned with dream analysis) that was to say to yourself, "As soon as I take a drink of water, I'll remember my dreams." Then, just keep a glass of water on your bedside table, and take a drink when you wake up, saying the same thing again (in your head is ok, too).
So any of you who say you don't dream, maybe you actually do, but you're just accustomed to not remembering them unless they were really whacked out.