I always wonder if you suddenly aware that are dreaming while having a nightmare. Can you take revenge on the monster / ghost that appear in your dream? Can you "continue" your dream?
According to info from wikipedia, atleast it can be use as a treatment for nightmares.
It has been suggested that sufferers of nightmares could benefit from the ability to be aware they are indeed dreaming. A pilot study was performed in 2006 that showed that lucid dreaming therapy treatment was successful in reducing nightmare frequency.
Wikipedia Lucid Dream