The protagonist in the film Waking Life (I still haven't seen it yet, only the clips on YouTube) is portrayed as being in some kind of 'lucid dream' type state as he goes on his journey seeking the opinions of various people on the meaning of life. Whereas in a 'normal' dream, you are effectively the passive observer or experient of the dream sequence, in a lucid dream you become aware that you're dreaming and you are then able to control the dream.
I can't say I've ever had a lucid dream (not that I can remember), although I gather it is something you can train yourself to do. As I understand it, part of this training involves asking yourself at various points during your waking life, "am I asleep or am I awake?". The idea is that you will eventually start asking yourself this question in your sleep when you are dreaming, thus raising the possibility of becoming aware of yourself dreaming.
Some people think that your whole life can be regarded as one big dream, and when you die you awaken from the dream. From this perspective, imagine what it would be like to live your waking life as a lucid dreamer... first you become aware that you're dreaming and then you realise you can control the dream. Imagine that.