While lucid dreaming refers to being consciously aware while you are dreaming, there are multiple levels of conscious awareness, everything from just a vague awareness of being in the dream state to complete control over your dreams events. Being consciously aware in your dream doesn't always mean you are able to have control over the dream events or environment, or even just over your own actions. Gaining control of your dream takes some practice.
In the early stages, you might only have a vague awareness that you're dreaming. This is being mildly conscious or mildly lucid. Mild lucidity can easily slip away, especially as you go from one dream scene to the next dream, if you don't quickly wake up.
You can also experience brief periods of having conscious awareness or lucidity that can come and go throughout your dream, loosing lucidity as you end up caught in the events of the dream and then becoming lucid again when a specific aspect of the dream makes you question again whether or not you're dreaming. This is called periodic lucidity and it's a very common occurrence while you are first learning how to lucid dream. It is very easy to end up so involved in the dream events that we can easily lose track of the conscious awareness we had and then we must work to get it back.
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As you improve in your skill of lucid dreaming, you will gradually start to achieve more intense levels of dream awareness and lucidity, and you will get more skilled at using methods to keep that level of awareness throughout the whole dream.
Eventually, you can control your own actions and attitudes within the dream. You'll learn how to control your own responses to dream situations, letting you react calmly and positively to events that normally would have generated fear or panic. By being consciously aware that you're dreaming, you can also recognize that you have nothing to fear from the dream events and you can then determine the dream's true underlying meaning. You can then change the dream course by changing your own actions and reactions in the dream. Getting these skills just requires a lot of practice.
You will eventually learn how to control the events and then become more adept at controlling the dreams environment. When you make it to this stage, you'll have the ability to choose whether or not to take conscious control of the dream or just let your unconscious mind guide the events of the dream while you just remain aware that you're dreaming.
Ultimately, you will gain the skill to program your dreams so you dream about the situations or events that are your own choosing. You will then be able to use your dreams to practice for events in waking life, explore your unconscious mind for personal growth or healing, or just for entertainment. The choice is up to you.