Lucid dreaming is staying within your own mind.
Astral Projection is being able to project into the astral planes, while your physical body is unconscious, yet able to retain the memories of the event ( for the most part )
Etheric projection is projecting within the physical plane and higher planes while your body is conscious. This includes what we call Out of Body Experiences, as well as a form of Astral Projection. Again, the biggest difference is that you are conscious and aware of the events as they are happening.