Nelson~ Wikipedia has a rather interesting article on this very subject, and cites many credible sources and has many reputable external links. It is a heavily researched "phenomenon", and actually has an institute devoted solely to research into this field. I have personally had many OBE's, have astrally projected myself, and am expanding my research into actually learning to control my dreams on a more consistent frequency. It is a rather difficult technique to learn, but is well worth the effort.
Astral projection is the projection of the mind or soul from ones body, mainly as a means of reaching the astral plane. The astral plane being a spiritual plane of existence where energy beings of various myths are said to dwell and the astral plane is said to hold knowledge that can aide one on their life's journey be it through the knowledge of a inhabitant of the plane or something such as the Akashic Records, which some believe can be found on the astral plane.