There are many ways to have lucid dreams. Some people can do it naturally, other people have to try very hard to accomplish 
the lucid state. 

However,
Everybody can do it!

If you really want to have lucid dreams it is advisable that you don’t lead a stressful life. You must have the time for 
yourself and for your dreams. I’ve had periods that writing down my dreams alone took 2 hours. Nowadays I have a busier life 
and I see that my lucid dreams have decreased. I would advise to start the exercises in a quiet period. Maybe in your 
vacation. 

Once you have had your first lucid dreams you will see that the next ones are easier and sometimes you will become lucid 
completely by surprise. 

Mnemonic Induction of Lucid Dreams (MILD) Technique------------------------------  

 Set your mind to awaken from dreams and recall them. When you awaken from a dream, recall it as completely as you can. 

 While returning to sleep, concentrate single-mindedly on your intention to remember to recognize that you’re dreaming. 
Tell yourself: "Next time I’m dreaming, I want to remember I’m dreaming.". Try to feel that you really mean it. Focus your 
thoughts on this idea alone. If you find yourself thinking about anything else, let it go and bring your mind back to your 
intention to remember.  

 At the same time, imagine that you are back in the dream you just woke from (or another one you have had recently if you
 didn't remember a dream on awakening), but this time you recognize that it is a dream. Look for a dreamsign. When you see 
it say to yourself: "I'm dreaming!" and continue your fantasy. Imagine yourself carrying out your plans for your next lucid
 dream. For example, if you want to fly in your lucid dream, imagine yourself flying when you come to the point in your
 fantasy that you realize you are dreaming.  

 Repeat steps 2 and 3 until your intention is set, then let yourself fall asleep. If, while falling asleep, you find
 yourself thinking of anything else, repeat the procedure so that the last thing in your mind before falling asleep is your
 intention to remember to recognize the next time you are dreaming.  

Taking naps-------------------------

Or, as you can also call it, adjusting your sleep patterns.

For example, set your alarm clock a few hours before you actually have to get up. When you are awoken, read something about
 lucid dreaming, do a reality check, or whatever, to keep your mind on lucid dreaming. Then go to sleep again with the 
intention to have a lucid dream. 

This also works if you have woken up naturally and are still dozing a little. You don't have to get up so you doze off to 
sleep. If at that time you keep in the back of your mind that you are dreaming you have a high change of a lucid dream.

If you can time your REM-cycles (the time in which the actual dreaming takes place), you will be able to set your alarm 
clock exactly on a time when you have finished dreaming. 


Other ways to become lucid---------------------------------


Look at your hands
A many used technique and one that seems to work pretty good is to look at your hands. Just remember to look at your hands 
and the moment you do it you know that it is a dream. 

The best way to do this is to consciously look at your hands during the day and ask yourself whether you are dreaming or
 not.If you do this often enough you will look at your hands in a dream too. 

Then you can realize that you are dreaming. 

Dirty tricks
Before you go to sleep, drink a lot. In that way, you will have to go to the bathroom somewhere in the middle of the night. 

Lie down, close your eyes and concentrate. Say to yourself that whenever you are in a bathroom or looking for one, you will
 be dreaming. In most cases you will have a dream in which you are looking for a bathroom or are in one. It is then that you
 can realise that you are dreaming. 

warning: It can be possible that you're so convinced everything is real you'll wet your bed... 

How did I get here?
During the day constantly ask yourself:"how did I get here?", and playback the actions that got you were you are now. 

If you do this long enough you will eventually ask yourself this question in a dream. And then you really cannot remember
 how you got there. Bingo, you must be dreaming! 

Once I dreamt I was climbing on a building. Then I asked myself:"how did I get here anyway?" and really couldn't think of
 how I got up there. Convinced I was dreaming, I jumped off the building and flew away. 

Lucid Nutrition
There is some Dream Food around, try some out :) 

Orange juice
Orange juice, or any pure fruit juice helps your nervous system to stay active, while your muscles "sleep". This way you 
have more vivid dreams, and increased change of a lucid one as well.

Milk and Cheese
Milk and cheese have amino acids in which have been found to stimulate the production of melatonin, a neurotransmitter
 associated with sleep and dreaming. So warm milk before bedtime might really help you sleep after all! 

Lettuce
A Mirror Traveler wrote:
I have found that lettuce is a great stimulator of dreams, in general. (I'm not too familiar with the lucid variety of
 dreams.) I don't know how or why it works, but i know of two friends who have confirmed that lettuce did indeed either 
induce memorable dreams, or aided in remembering them. I have tried this on three occasions and it worked all three times. 

Mustard and pickles
Another account from a Mirror Traveler:
I was listening to a local radio station, one morning on the way to school. They reported that a dream researcher found
 that if you eat a tablespoon of musterd and a medium size dill pickle, immediately before bed, it will induce lucid dreams.
 Of course I tried it, well it worked! (The third time) Now I do it about 1-2 a week, the results are good, good enough to
 make my-self gag down a tablespoon of musterd. I wish that I could remember the researchers name or where he was from. 
I told my friends to try it and they get about the same results, sometimes it works. For me sometimes is better then no 
times. 

Ice Cream
Someone on a.d.l. once reported that they tended to have lucid dreams after eating ice cream. Could be the amino acids
 again, or the temperature of the ice cream causing your digestive system to go haywire and thus raise your overall arousal
 level... 

Popcorn
Another alleged lucid dream inducer. No idea why it might work...

Fish
This is mentioned in the alt.dreams FAQ. Perhaps something to do with the protein contained in it again? 

Staying lucid---------------------------------
Once you realize you are dreaming, it is sometimes difficult to remain lucid, or even to remain dreaming. Here are some 
techniques to keep you dreaming: 

remain calm
Don't get too exited. If you do, chances are you will wake up after the immediate realisation that you are dreaming. 

spinning
Twirl around your own axis (you won't get dizzy) and say to yourself:"The next scene will be a dream." When you stop 
spinning, if it is not obvious that you are dreaming, do a reality test. Even if you think you are awake, you may be 
surprised to find that you are still dreaming! 

look at your hands or the ground. 
Focus at a stable reference point in the dream, like your hands or the ground. This helps you stabilize yourself in the
 dream. 

rub your hands together
The rubbing will give you a vivid sense of movement and friction. While rubbing your hands repeat to yourself: The next
 scene will be a dream. 

According to research the spinning technique is the most efficient, followed by the rubbing-hands technique.