I've been able to do this in the past. It has always happened by chance.

These experiences often left me in a state of well being.

But I've also experience (quite often) what could be called a lucid nightmare: I understand that I'm dreaming and I decide to wake up. I shake myself, I slowly open my eyes and I start to see the room I'm in. Only to discover that I am still dreaming. At this point, fear kicks in and now I really want to wake up. But the cycle repeats three or four times before I'm relly awake, and each time I'm increasingly more scared of not being able to wake up anymore.