I’ve noticed that a very important step in the process is remembering your dreams in full detail. Try to write down everything and anything you’ve noticed in your dreams upon awakening and whenever you remember bits and pieces of dreams. When you’re first starting out, this step will really help you remember that you’re dreaming.
I’m starting to have more “lucid” dreams on a monthly basis. I used to have extreme trouble staying in my dreams as soon as I noticed I was dreaming. I would wake myself up out of the dream only to be disappointed when I awoke. Eventually, you’ll let go of this behavior and realize that it’s fun to dream.
Here’s a good faq on lucid dreaming that helped me out when I first started. http://www.lucidity.com/LucidDreamingFAQ2.html. Other considerations, look at your watch twice while dreaming, the numbers will never be the same if you can even read them at all. Also, I don’t think the lighting can be changed in your dreams; try turning on a light switch or moving through different environments from outdoors to indoors and see if you notice any changes.
A great movie that just came out pertaining to this topic is “Waking Life”. http://www.wakinglifemovie.com/ If you visit the site and wish to see the movie, it’s best to view only the trailer, if you want the best experience the movie has to offer.