Is lucid dreaming when you are aware that you're dreaming, or when you can control your dreams? Because even when I realise I'm dreaming (which just seems to happen occasionally by chance) I can't make things happen or control anything.
I remember once, when I was a bit younger, I had a dream where I was in the backyard. My rabbit was talking to me, asking me to open the gate and let it out. It wanted to see the outside world, it said, and it promised to come back. I realised it was a dream, and therefore no harm in doing as it asked, but just as I was about to open the gate, it struck me how real it seemed. I asked my rabbit to talk again, but it just looked at me, silently. I hesitated, and then I woke up, and to this day I really regret not opening the gate. I should have done that much for it, at least. Damn it.
Edit: That wasn't a very good example of lucid dreaming, but it's the one that bothers me the most. There have also been a few where I try to fly or do something cool after I realise I'm dreaming, but it never works.