When I was in high school it would happen all the time, maybe like 3 nights a week. Now it happens every so often. I've heard of people being able to do it any time they want but for me, I'd be dreaming and just kind of wake up and say "hey, i'm dreaming!" It's a very weird experience but wasn't anything like Inception for me.
I'm never able to change where I am, but I can consciously make decisions, manipulate and create things wherever I am. First one I ever had I still remember pretty vividly. I was standing in my school's hallway, and looked down but couldn't see my feet, and that's when I guess I realized I was dreaming.
It's strange, because apparently it's pretty common to be able to lucid dream but whenever I tell anyone they seem so surprised.