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I've been able to train myself to lucid dream fairly easily, I recommend everyone try as well.

I kept a dream journal and as soon as I awoke in the morning, I would write in there. Also, throughout the day, when something happened that was 'out of the ordinary' I would immediately ask myself, am I dreaming? The idea is that you grow accustomed to doing this so much, that you'll actually do it in a dream, producing a lucid dream.