It's called lucid dreaming, and you can teach yourself to do it.

Not a wise idea IMO, as dreams are a way of cataloging your thoughts, and if you mess with them, your brain's not sorting itself out like it normally does.

I did the whole lucid thing when I was about 17/18, and it was great, until I kept getting really nasty dream-within-a-dreams, so I would think I'd woken up, only for something either terrifying or really disturbing to happen.

One positive legacy is that I can wake myself up from nightmares...