Lucid dreaming [wiki] happens when a person, who is asleep and dreaming, realizes that he (or she) is dreaming and continues to control the content of the dream.
Apparently, it's possible to buy devices that induce lucid dreaming. Or you can make one, just like Nate True did:
Enter the current incarnation of the Mask. It's dead simple - a battery pile, a power switch, a button (which currently does nothing), a PIC microcontroller (16LF628), and two lights aimed right into the eyes.
Add to that a piece of foam (available at Wal-mart in 0.6 cubic-foot bags) which has been expertly sculpted to fit the bridge of the nose and a portion of the forehead.
Note also that I used white LEDs off of eBay here. You can use any color (red gets through eyelids the best), but be mindful of what the color means to you. You don't want to be giving yourself the wrong idea - imagine a dream filling up with blood just because you used the wrong color!