Not really. The closest I've come, is, if I try to go back to sleep quickly after having a good dream, a few times I was able to allow it to continue. I just wish I could stop the nightmares from happening, but those I really have little control of.
Yes its nice when you have some control over your dreams.
I hope more people share their ideas on this topic of "Lucid Dreaming", I'm quite interested myself.
Let us know how you make out with it.
"The lonely become either thoughtful or empty"