Lucid dreaming is an extremely difficult skill to learn, and more difficult still to master. I found myself seeking to learn it primarily to end the constant plague of nightmares that I used to suffer up until about six years ago or so. Nearly every night was awful and miserable in one way or another, but once I began to learn how to control my dreams, I was able to banish them entirely.
By far the most important element is learning how to remember your dreams in great detail. This key skill is crucial if you want to succeed at lucid dreaming, for a variety of reasons. First, it provides a general benefit in the form of educating you. You can look at your dreams, attempt analysis, and enjoy them...not much point to lucid dreaming if you can't remember them after all, right? Secondly, it allows you start recognizing signs that you're dreaming. For example, one of the best ways to tell if you're dreaming or not is to read a line of text. Re-read it three times. If it changes, you're dreaming. If it doesn't change after three times, there's a 99% chance you're not dreaming. There are also plenty of other signs, but most of them tend to be specific to the person. Dream recall will take a long time to master on its own depending upon how good your memory is. (This, incidentally, is why I am able to post such lengthy posts in the Pony Dream thread, because my memory of my own dreams is just that good. It took me months to get to that level of effortless recall.)
Once you're able to recall your dreams, you can proceed to the next step of attempting to recognize you're dreaming. As I said, this generally involves you recognizing one sign or another, something like a change in text, or an appearance of the moon at high noon, or, say, a flaming purple cat that bursts out of nowhere, something ridiculous like that. This is extremely difficult. Often when you recognize you're dreaming you'll either wake yourself up or you'll be distracted so fast and drawn back into the dream that it won't have made a difference. I recommend researching this particular aspect deeper on the internet, as there are reputable sources that can help you with this. (They're difficult to find, however...if I can find the old source I used, I'll link you.)
When you can recognize you're dreaming, you then have to take control. That is the hardest thing to do yet. I often fail at this myself, and when I do gain control most of the time I can only steer my dreams in general directions. For instance, I could desire to dream about ponies, but what form that dream takes could be anything from the ponies appearing as invisible-except-their-hair pets that are skittish as all get out, to a romantic candlelit dinner with Twilight Sparkle, to all kinds of weird things. It depends upon what my mind comes up with, really.
As Klopp says, there's a difference between lucid dreaming and actually controlling your dreams. Lucid dreaming itself is just being aware you're dreaming, and it's a skill I would recommend to just about everyone because it's really fascinating what it can do for you. If like me you're constantly suffering nightmares, it can help you deal with them and get rid of them, because it's surprisingly simple to banish the specters when you know they're not real. I think I've had maybe one nightmare in the last six years total, when I'd had nightmares almost every night prior to that.