Lucid dreaming is when you become aware that you are dreaming within a dream. This usually gives a certain level of control within the dream, sometimes complete control. This is effectively a form of virtual reality.
A number of experiments have proven that you can train yourself to lucid dream. One method is to regularly ask yourself "Am I dreaming?", eventually you begin to ask this question whilst dreaming. To remind you, put "Are you dreaming?" on posters, your PC wallpaper or phone start-up message.
Another method involves watching yourself in a mirror and concentrating on how your movements are reflected. Eventually you will begin to have dreams about looking in the mirror but your reflection will not behave as usual making you aware that you are dreaming.