Lucid Dreaming

A tinting of its quality: how light
Must dreams themselves be; seeing they're more slight
Than the mere nothing that engenders them!

The Poetical Works of John Keats, 1884: Endymion

Lucid dreaming is being aware of that you are dreaming whilst you dream...the idea being that you can then control what happens to you and what you do.

Dreams tend to occur in the REM (Rapid Eye Movement) phase of sleep. REM occurs several times each night, although you won't remember what was going on unless you are woken up during a REM phase, or if you are dreaming lucidly.

There's no evidence as yet that lucid dreaming is physically bad for you, although I have found that it can be quite mentally tiring. Certainly, depriving yourself of too much REM sleep is not a good idea - and lucid dreaming tends to cause REM phases to become further apart in a sleep pattern for that particular night - but lucid dreaming in moderation has not shown any adverse effects. I tend to try it out on a Friday or Saturday night when a lie-in is an option.

The potential dangers (alongside training yourself to lucid dream, if you're interested in trying it) are discussed in more detail here.