Yes, I believe the term is "lucid dreaming", at least, that's what it means if you're aware that you're dreaming. Not sure about the control part.

But yeah, almost every dream I can control is some aspect. Most dreams I can make myself have telekinesis abilities (controlling objects) as well as being able to float or fly. If a dream gets really bad, I can often force myself to wake up before it goes very far. I find this very useful, and having control over my dreams has made it so much more enjoyable. It's like a new adventure every night!