LaBerge proved that people can have lucid dreams at will as part of his doctoral research at Stanford. Even if you haven't mastered the at-will inductions like MILD or WILD (see
Exploring the World of Lucid Dreaming by LaBerge or consult Google), you can increase your frequency of lucid dreams (once or twice a week for me in my third year of high school) by using critical state testing, which practitioners of Tibetan dream yoga have supposedly been doing for hundreds of years. The idea is twofold.
First, it's usually very easy to tell if you're dreaming. If you're sober and you even have to think about whether you're dreaming then you can safely say you are. That's hard for some people to do, so you might want to use a more tangible method. If you pinch your nose and try to breathe through it, you will be able to breathe in almost all dreams (you can never 100% prove awakeness, but we only care about proving asleepness), and you will never be able to breathe if you're awake. So if you find you can breathe through a pinched nose, you know you're dreaming. If you don't want to pinch your nose in public all the time, you could look at your hand instead. Count the number of fingers and ask yourself if they are straight or deformed. The dreaming mind is really bad about accurately generating five-fingered realistic hands, but we never notice unless we deliberately look at our hands in a dream. This method is almost as surefire as the nose method.
The second part of the method is that if you make it a habit to check to see if you're dreaming whenever a certain kind of event comes up, let's say whenever you walk through a doorway, that behavior will carry over to your dreams once it has become a habit. Once you walk through a doorway in your dream, you will do the nose or hand test and discover that you're dreaming. It's fine to be skeptical of science when it sounds too good to be true, but seriously give it a try. Lucid dreaming is a lot of fun, and there are also a lot of practical benefits. One that comes to mind is being able to literally work out problems in your sleep. It's sometimes hard to keep text constant on a dream whiteboard, but you have the advantage of being able to manipulate text with the snap of your fingers--something that you can't even do yet with vim or emacs. Another advantage of lucid dreaming is nutrition and weight loss. It's a lot easier to say no to that piece of cake now if you'll have the opportunity to eat it while you sleep. Dream food tastes about the same as real food.
P.S. The experience of astral projection (in the sense of having a highly real-feeling dream in which you can roll out of your physical body and walk around your room, which looks virtually identical to how it does in real life) is actually a real phenomenon that's rather easy to induce using a variation of wake-initiated lucid dreaming (WILD). The vast majority of people who claim to achieve this are telling the truth. While there is no reason to accept the non-scientific explanation that they're actually leaving their body in some astral plane in real life, the actual experience they're reporting is very real.