My first lucid dream (well the first I can recall) was quite funny, simply because I was trying to sleepwalk!
I would have been about 7 at the time, and was sleeping in my parents' bed (I may have gone there during the night I think). Anyway, I was REALLY concentrating on sleepwalking as soon as I got to sleep... I focussed on this with all my willpower until I fell asleep.
And sure enough, as soon as I went to sleep I thought, "Cool I'm asleep... now I'll get up and sleepwalk." So I got out of bed and walked across the room to the door, all the time thinking, "Yay, I'm really sleepwalking!" I can't remember what happened in the rest of the dream, but I do remember waking up and telling my mum I sleepwalked, and of course she told me I hadn't moved
Years later, when I learned what lucid dreaming was I realised I'd actually had a lucid dream.
Incidentally, I find the easiest time to lucid dream is when I am really tired. Tired enough that if I close my eyes for just a few seconds I'll go to sleep. What I'll do is I'll lie there, wait to fall asleep and then to test whether I am asleep or not I will lift my arm. If my arm lifts easily, then I am asleep (because otherwise I'd have the weight of the covers on my arm). The interesting thing about these dreams is I am able to continue my train of thought from wakefulness to sleep, which usually doesn't happen when I go to sleep.
However, I still am not great at controlling my lucid dreams and can't always make the things happen that I want to!