Lucid Dreaming DOES exist, and been confirmed by scientists.
Lucid Dreaming is essentially the process of you being able to control your own dreams to be able to do, whatever you want. The only limit is your imagination. I first found out about it a few months back, but have only taken and interest and started researching it in the past few weeks.
You can essentially control your dreams and make whatever you want to happen in them. For example you could - fly, have sex with someone, kill a load of people, talk to your subconscious, build something. You can do just about ANYTHING, your only limit is your imagination.
As for learning how to Lucid Dream, for a start anyone can do it. You can do a few things to increase your frequency in which you have them and how vivid they can be:
Reality checks - At a decent number (say 10-20) times a day you would stop and ask yourself "am I dreaming?" and then do something that would show if you were dreaming or not, for example pushing your two fingers through the palm of your other hand. If you get into the habit of doing this, then you'll do it in your dreams too, where you would question your reality and do it there, where you would suddenly realise you were dreaming and become 'aware' of your surrounds.
Dream Journal - You essentially keep a small-medium sized book and write down every time you have a dream what happened in it, did you notice anything unusual, and if you became lucid at any point in the dream.
Binaural Beats / Isochronic Tones - These are essentially brainwave tracks that when you listen to change how your brain works and stuff, so they can make it easier for you to relax, concentrate, think, dream and stuff like that. It's a lot to explain here though. These are most effective with headphones.
Note that you won't be able to master it instantly, though overtime you will get better and better at it. I'm studying it in my own time right now, you can add me on MSN too if you want for any questions or stuff (PM me for it)
Those are three main ones, there's other stuff you can do too, which can make them last longer, lessen the chance of you waking up sooner, . By the way WILD's are considered for advanced lucid dreamers, which is why you might not be having much luck with it.
There's a fair few websites on the net about it -
http://www.world-of-lucid-dreaming.com/
http://www.lucidity.com/LucidDreamingFAQ2.html
(turn your speakers down/mute)
http://www.meditation-power.com/
yaroow knows a lot about this too, I'll link him this thread if he has time.
