Lucid Dreaming.

During the day, it's best to make sure you're awake. I try to test myself every hour or so. Pinching yourself is a common way to go about this. Another way is to look at a sign or a clock, look away, and look back. In a dream, the clock or sign would most likely be different than it was before.

Make a habit of this. Eventually, you'll notice when you dream. Once you know you're dreaming, you can control your actions. It's not that simple, though. If you decide to fly in your first lucid dream, you'd most likely excite yourself awake. Start with simple things, like walking dogs, then do the "exciting" activities.