My coolest was the one I had last night, detail here:
Lucid dreaming, astral projection, out of body experiences, etc.. A close second was one I had a few weeks ago where I realized that I was dreaming, and then tried to interpret the dream as it was happening.
There was one I had as a child where I knew in my dream that my real body had to use the bathroom. I tried to wake up, but would wake into another dream. I would walk out of the room, spot something wrong, get irritated I wasn't "really" awake, go back to bed, and repeat the sequence a few times. I finally woke for real and relieved that I would be able to relieve myself.