But if you've never had such an experience, you're not really alone.
Both a 2011 German study and a more recent meta-analysis found only about half of us have ever realised we're still in the middle of a dream, with just a quarter reporting having lucid dreams frequently.
Or, at least, remembering the experience on waking.
If you're feeling jealous, a team of scientists from the University of Adelaide in Australia has come up with some interesting tips on how we can all maximise our chances of inducing a lucid dream.
While states of awareness – and sometimes control – of our imagination while sleeping is a popular subject for Hollywood fantasies, science has established surprisingly few facts on the matter.
Part of this could be the sense that lucid dreaming is something of a fringe field, wrapped up in New Age mumbo-jumbo.
A more significant problem is developing awareness mid-dream can be hard to predict, making the phenomenon incredibly hard to study.
Previous studies have found some success in priming the brain to expect a lucid dream, even allowing subjects to signal researchers mid-dream that they're experiencing lucidity.
Researchers in this latest study put three different processes to the test with a group of 169 volunteers.
Each was given a questionnaire and a logbook to record their dream experiences for a week. They were then given one or more of three lucid dream induction techniques to practice the following week.
One technique required subjects to practice checking their reality while awake with the aim of entrenching the habit for when they were dreaming.
A second process required them to awaken for a short duration after five hours of sleep, and then return to sleep, hopefully to slip quickly into a state of sleep where dreams are more likely to occur.
The third technique – referred to as MILD (mnemonic induction of lucid dreams) – involved repeating the phrase "the next time I'm dreaming, I will remember that I'm dreaming" while awake.
In the first week of testing, prior to practicing any of the techniques, about 8 percent of dreams among the entire group were of the lucid variety.
Week two was a different story for some.
Just over 17 percent of dreams among those who used all three techniques were described as lucid. Among those who fell asleep within five minutes of returning to bed during the MILD technique, this rate skyrocketed to almost 46 percent.
"The MILD technique works on what we call 'prospective memory' – that is, your ability to remember to do things in the future," says researcher Denholm Aspy.
"By repeating a phrase that you will remember you're dreaming, it forms an intention in your mind that you will, in fact, remember that you are dreaming, leading to a lucid dream."
Importantly, those who used this technique to wake up in their dream didn't report feeling more tired the next day.
The least likely to work, however, was practicing reality checks while awake. Those in this group actually experienced fewer lucid dreams.
"These results take us one step closer to developing highly effective lucid dream induction techniques that will allow us to study the many potential benefits of lucid dreaming, such as treatment for nightmares and improvement of physical skills and abilities through rehearsal in the lucid dream environment," says Aspy.
We're a long way from recruiting dream engineers to implant suggestions into our brains while we have a nap, but anything that helps increase the chances of inducing lucid dreams could be useful in our efforts to better understand how sleeping brains work.
So if you want to weave some magic while catching forty winks? Best get chanting.
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