Lucid dreaming is when you can realize you are dreaming while you are dreaming and therefore take control of the dream and change it however you want. Essentially you pick something that doesn't happen in real life, like a blue rabbit or a three legged elephant, and you tell yourself just before you go to bed every night that if you see this thing you will know you are dreaming.

It takes a while and patience to get there but eventually you will be in a dream and see this thing that doesn't happen in reality, blue rabbit or three legged elephant or what ever you chose to be your thing, once you see it or feel it you will know you are dreaming and nothing is real. You then have the power to change anything you want. Create objects, fly, fight back, whatever you want. It's really awesome once you get there.

I once had a nightmare I was being chased on a beach by someone. I realized I was dreaming and created a box in one hand and a fire extinguisher in the other hand and beat the chaser into nothing.