A lucid dream is any dream during sleep in which you become aware that you're dreaming. Which means you're able to control yourself and your surroundings freely. When you're conscious during your dream you're only restricted by your ability to imagine and conceive, not by laws of physics. So what you can do in your lucid dreams is limitless. Flying? Having dream sex? Time travelling? All that and more is possible. Now who wouldn't want to do that from the comfort of their bed?

It's extremely helpful to start a dream journal. Keep it close by your bed at night, and write down your dreams immediately after waking up. Write down as much details as you can remember. This will train you to remember more of your dreams.

Another thing to do is to preform reality checks frequently. Every few hours during the day, ask yourself "Am I dreaming?". With enough practice, you'll start following the habit in your dreams as well.

There are a number of techniques that help induce lucidity. But the one I recommend to beginners and also the one that I used to achieve immediate results is "The wake back to bed". (WBTB method)