My wife and I were just talking about this the other day. She lucid dreams very regularly, and she says she spends a lot of that time flying.
I, on the other hand, never lucid dreamed, so a few years ago, I spent a lot of time journaling and doing wakefulness tests to see if I could learn to do it. One night, I did -- I was dreaming and then had an 'awakening' in which I realized I was asleep. Finally, a lucid dream! Naturally, the first thing I did was start to fly. About five seconds in, I told myself, "Wait a sec... People can't fly." That took the wind out of my sails, so to speak, and I couldn't fly again in the dream. I believe I woke shortly after, too.
I keep wanting to get back to it and try it out, but I'd love a more efficient way to get there instead of constant wakefulness checks and first-thing-in-the-morning journaling.