I tried to have lucid dreams a while back with no success, but I got my tips from a fairly big lucid dreams website. I thought I'd throw them in:
1. Start a dream journal. Before you go to sleep tell yourself, or visualise yourself waking up and writing your dream down. If possible set an alarm clock to a multiple of 90 minutes after you fall asleep; you will be woken up mid-dream. When you awake don't move from your position, think about every detail of your dream. Then write it all down. Even if all you remember is a face or a thought, record it.
2. Eventually you will be remembering up to 4 dreams a day, so only write down the most influential or important ones. Before sleeping read through your journal to ready your mind. Eventually you will see certain patterns, or recurring themes, in your dreams.
3. You also need to do reality checks, for example - read things 2 or 3 times, see if they change. Check a clock; in dreams clocks rarely show the right time, or even any time at all. Check a light switch; in dreams they rarely work. Try putting your hand through a wall. Look in a mirror. See your own hands, count the fingers. If you do this every 30 minutes or so, with meaning, you will do it in your dreams.
4. Especially however, you must do such reality checks whenever you see a dream theme from step 2. For example, if you find a lot of your dreams are in a bus, do a reality check in a bus.
5. You will do such checks in your real dreams, and when you realise through the reality check that something is amiss, you will know you are dreaming. Congratulations! However, try not to express too much joy; you will awaken. Start off with just walking around, talking to people. Then in later dreams you can try anything you like.
6. Nightmares: if you are being chased, turn around and confront your chaser. It is probably a fear, and you can overcome it. If you are lucid you will know you cannot be harmed.
7. False awakenings: often you will wake up and get ready, do your morning ritual, etc. only to realise you are still dreaming. This can happen multiple times. The only real way to avoid it is to get into the habit of doing reality checks when you wake up. Or checking the clock, or whatever. Then when you have a false awakening you can turn it into a proper lucid dream, although you usually wake up for real shortly after.
8. Falling: falling is a frequent occurence in dreams. If it happens during a lucid dream, attempt to turn it into flying.