Okay, so I've actually read a couple of books and got a program to learn how to make them more likely. The thing with lucid dreaming is that you can set yourself up to have lucid dreams, but you can't (unless you are really really really good) say "I'll have a lucid dream tonight!" and then actually have one.
The main thing you can do to get into the habit of lucid dreaming is to have frequent 'reality checks'. Why? Because, in the dream world you are going to be just as convinced that you are in reality as you are when you are awake. The catch is, the dream world behaves in subtly different ways than the real world, so you can 'catch' yourself dreaming. An easy reality check is to have a watch that beeps on the hour, check your watch, contemplate about whether you are actually dreaming, and then check it again. If the time is different already, you know you are dreaming (numbers behave really weird in most people's dreams, because the symbolic mind is less active whilst dreaming [often called the 'left brain']). There are other things too, of course, that you can do such as setting the intention before going to sleep that you will dream lucidly as well as visualization, etc.
What I've gotten into lately is what I call a 'half-lucid' state. Often times I will have a dream, and some part of my mind says, "it's okay to do this because it's just a dream" but I don't actually fully take over the dream world b/c I'm not fully aware of this idea. Usually my dreams are not very vivid either, so a lot of times it seems more like I'm playing a game (and, in fact, a large portion of my dreams now are of me playing video games; surprisingly they are actually not ones I remember playing before).
When I was younger, however, I had several instances similar to what you've described, and I would have trouble figuring out whether something was a dream or not. I actually have talked to some people (again, when I was really young) and suddenly realized that it must have actually just been a dream. It only made me seem a little weirder than I usually was, however, and fortunately it was mostly my parents who got wind of it.
Probably the greatest benefit I've gotten from learning lucid dreaming is that now, when a nightmare comes and something bad is 'supposed' to happen to me, I conquer it and take over the dream world. I actually kinda look forward to nightmares now, because it's like a guaranteed ability to use magic and stuff trigger. Oddly, now that I haven't focused a lot on them consciously, I've actually started even having psuedo-lucid dreams in these situations too.
Just to wrap up with an example, I was walking by myself and two men grabbed me and were taking me away to experiment on me. I asked them to let me go, and they didn't, so I smashed one's head against the wall and ripped the other's head off his shoulders (yeah, I get pretty brutal against criminals). But, I didn't actually become lucid, I just triggered a 'habit' of mine. I've never been in a situation like this in real life, but I'm actually half afraid that I'd do something really stupid and irrational in a situation like that.
and creation of worlds... 
