I thought I'd just give some tips and techniques for anyone wanting to learn to lucid dream. You can find techniques like MILD and DILD etc by looking around. These are just from my experiences and what I mainly do. Feel free for anyone to add anything. I decided to learn about lucid dreaming when I had a dream once of a witch who was throwing lightning at me. I was cowering and thinking how can she do this? To which she answered "It's all in your mind!". I understood and stood up and threw hundreds of golden darts at her from my hands. She vanished with a cackle and I was left knowing I had done my first impossible action. Thanks Witch! Anyway..

Remembering :

First up you need to remember your dreams. To do this you need to tell yourself that you WILL remember your dreams. You need to really mean it. Keep a phone/diary next to the bed to record your memories soon as you wake up. Don't go back to sleep thinking you'll remember it again in the morning because chances are you wont. It can also help when you go to sleep to meditate to reach the relaxed state(alpha), then plant this goal in your mind as it sticks better. And when you do wake up, try not to move too much before doing anything. Just think about what you have just been dreaming of. Don't wake up and spring out of bed(avoid alarms too).

Testing :

Next you want to be thinking during the day "Am I dreaming?". You need to ask yourself this question as often as you can. Especially if you're doing something different or if anything odd happens in your usual routine. So you're going to work and an ambulance goes screaming by(Am I dreaming?). You finally get to go to that concert you've been waiting for(Am I dreaming?) Or you're just sitting there reading OT (Am I dreaming?). The important part is not only doing this often but to really think about the question. Take a minute before you decide the answer. And use the time to test your reality. This is done by simply reading something, closing your eyes quickly or glancing away, then reading it again. In a dream the words will always change somehow. What I used to do was carry a reality testing card with me with "Am I dreaming?" written on it. Take it with you everywhere and it will be in your dreams if you need it. Once you have proved you're not dreaming, imagine what you would do if you were. eg If I was dreaming now, I would walk through the wall and fly outside. Spend the time doing these things so they become a habit and the habit transfers into the dream.

Before Sleep :

Reach an alpha state by just relaxing and set your goals.. To remember your dreams but mainly to tell yourself "Next time I dream I'll know I'm dreaming". Keep thinking this as you fall asleep, you want it to be the last thought in your mind so it's the first thought when you dream. This works best when you have already slept for a long time, so when you wake up and you know you'll fall back to sleep quickly. You can also use things as triggers, so for example I used to dream of a wolf beast that was hunting me in dreams. It annoyed me that I had been attacked by it so I said to myself that next time I see it I will know I'm dreaming. And sure enough next time I saw it I knew. So I pulled two uzi's from behind my back and filled it with lead before cutting its head off with a katana. And I never dreamt of it again. No more nightmare.

During Dreaming/Techniques :

Once you know you are dreaming you want a plan. Which is why you practise that habit. Nothing worse than finally going lucid and being stunned into waking up. I'll give a few examples of things to do and what I find works for me.

Shapeshifting : My first attempt I just dove into a puddle of water and thought "fish" and I turned into one. So thinking as you do an action. Running on all fours is the best way I know to shapeshift, I found that by chance as trying to stand and shift only made me into a standing beast, where running on all fours gave me a full wolf shift. Basically do what comes natural. When I was a crocodile I wanted bigger teeth to eat with, so I placed my feet together to form a tail and when I flicked it I turned into a great white shark. When I wanted to turn into smoke I thought "smoke" and jumped into the air in a twisting motion. And I was smoke. Running is the best I found though because after running on all fours for almost 30yrs, I always run on all fours in normal dreams now. Which can trigger me into going lucid(semi lucid though I am very animal minded).

Flying : I found using a step to be helpful. Instead of just leaping off something, walk up an imagined step first. Don't look down, just walk up these steps to gain height. Then focus on something high and travel towards it. Use your mind to fly more than your body.

Walking through objects : Don't think about it, just do it. Know you are like a ghost. Some people will say test reality by seeing if you can put your hand through a wall but imo this only creates a bad habit in teaching you cant.

Creating objects : Basically do what you think works. It can be helpful to reach for an object and pull it out instead of trying to make it appear in your hands. So reach in a bag or behind your back.

Summoning : You can also call out for someone to join you. Simply call a name and see who turns up. This can give some amusing and also frightening experiences lol. One of my first times I called out an angel name I had two glowing broken dolls float across the ocean to me. After they questioned me they both latched onto one hand each. So I couldn't get them off. Which to be honest kinda freaked me out until I woke up.

So those are some things to do. If you do manage to lucid dream and wake up. Don't move! Stay completely still and keep your eyes shut and wait for the next dream to occur. You can chain them together. I find if I move a single muscle it's harder to do. You can also use this time to OBE.

Personally I think of OBE as OBLD(Out of body lucid dream). When in the blackness after waking from a dream you can rock your body side to side(imagine it, don't actually physically do it). You can end up falling out of bed so it's an OBE style. I think its just a lucid dream thats been created in that style from focusing on the body. Same if you get sleep paralysis. Rock out of it. And ask to be friends with the scary thing you feel might be there. No point fighting it.

If I think of anything else I'll add it but those tips are a decent start if anyone's interested.

TLDR: You miss out. :)