Lucid dreams are considered the creme-de-la-creme of dreams. Everyone has these types of dreams from time to time and they generally happen when you are nearly ready to wake up.
Usually, a dream becomes a lucid one when something impossible is going on in the dream, such as conversing with a bear (one of my own lucid dreams), or some action that would never occur in waking life.
Your conscious mind notices this and says "Wait a minute...this is impossible, it must be a dream!" At this moment, you are walking the fine line between waking and sleeping and if you choose to, you can stay on that line and take control of the dream, doing whatever you want with it.
These types of dreams can be delightful entertainment, just having fun goofing around in your dream world. More importantly though, they can be useful for problem solving, or embellishing on those dream inventions should you catch yourself in a creative mode.
The trick to lucid dreaming on purpose, is not to become startled into wakefulness at the moment you realize you are dreaming. This is easier said than done, but once you have awareness of what's going on and this happens a few times, you'll be able to gain some control over the process.
Check out the free ebook on Lucid Dreaming located on the dream downloads page. This resource has many different methods to choose from to expand your experience with lucid dreams.
Be sure to read all about the other dream categories!