Dream lucidity is awareness that you are dreaming. This awareness can range from a faint recognition of the fact to a momentous broadening of perspective. Lucid dreams usually occur while a person is in the middle of a normal dream and suddenly realizes that they are dreaming. This is called a dream-initiated lucid dream. A wake-initiated lucid dream occurs when you go from a normal waking state directly into a dream state, with no apparent lapse in consciousness. In either case, the dreams tend to be more bizarre and emotional than regular dreams. Most importantly, you will have at least some ability to control your "dream self" and the surrounding dream.
Keep a dream journal. Keep it close by your bed at night, and write down your dream immediately after waking, or the emotions and sensations you experience right when you wake up. This will train you to remember more of your dreams, which is important for lucid dreaming.  Plus, there's not much point in controlling your dreams if you forget the experience before the morning.
Alternatively, keep a recording device by your bed.
You might remember more of your dream if you stay still for a few minutes concentrating on the memory, before you start writing.
Use reality checks frequently. Every few hours during the day, ask yourself "Am I dreaming?" and perform one of the following reality checks. With enough practice, you'll start following the habit in your dreams as well, cluing you in to the fact that you're dreaming.
Read a page of text or the time on a clock, look away, then look back again. In dreams, the text or time will be blurry or nonsensical, or will be different each time you look. 
Pinch your nose, close your mouth, and test whether you can still breathe.
Simply look at your hands and feet. These are often distorted in dreams when you inspect them closely.
Repeat "I will be aware that I'm dreaming" each time you fall asleep. Each night as you fall asleep, repeat to yourself "I will know I'm dreaming" or a similar phrase until you drift out of consciousness. This technique is known as Mnemonic Induction to Lucid Dreaming, or MILD.  Mnemonic induction just means "using memory aids," or in this case using a rote phrase to turn the awareness of your dreaming into an automatic habit.
Some people like to combine this step with a reality check by staring at their hands for a few minutes before they go to sleep.
Learn to recognize your personal dream signs. Read through your journal regularly and look for recurring "dream signs." These are recurring situations or events that you may notice in your dreams. Become familiar with these, and you may recognize them while you dream, and therefore notice that you're dreaming.
You probably know some of these already. Common dream events include losing your teeth, being chased by something large, or going into public without clothes on.
Drift back to sleep when awakened from a dream. When you wake up and remember your dream, write it down in your dream journal, then close your eyes and focus on the dream. Imagine that you were in the dream, noticed a dream sign or reality check, and realized it was a dream. Hold on to this thought as you drift back to sleep, and you may enter a lucid dream. 
Note that most lucid dreams occur while the person is fully asleep, usually because he notices a bizarre event and realizes he's in a dream. This is just an alternate trigger that starts off about 25% of lucid dreams.
Consider purchasing a light alarm. Go online and purchase a light-based, instead of a sound-based alarm, or even a specialized "DreamLight" designed to induce lucid dreaming. Set it for 4.5, 6, or 7 hours after you fall asleep, or set it to go off every hour if possible. While sound, touch, or other stimuli during REM (Rapid Eye Movement) sleep can also make a dreamer aware of the fact he's dreaming, one study shows that light cues are most effective. 
You don't want to actually wake yourself up (unless you try the Wake Back to Bed method below). Keep the light alarm more than arm's reach away from your bed, and/or cover it with a sheet to dim the light.
Meditate. Before going to sleep, meditate in a quiet, dark room. Taking a meditation training course may give better results, but to start out, just pay attention to your breathing, or imagine ascending or descending stairs. The goal is to stop thinking and enter a quiet, comfortable state, and from there slip into a lucid dream.
Keep in mind that "Wake Induced" lucid dreams are rarer and more difficult than dreams that become lucid after you're already asleep.
There are many meditation guide videos online specifically designed to help you lucid dream.