I seldom can tell when I'm dreaming, but I can't convince myself of it. My dreams are usually dark blurry, but they have been getting more vivid of late and I also find myself more involved in them. It happened a couple of times that I found the unexpected ability to change things like a setting or change the shape of an object, but I didn't have much control over it. Objects in dreams seem to turn into liquid when you try to alter them. They get all wavy, it's like playing with jello.
The closest thing to complete control I ever had in a dream was on that night after I failed Linear Algebra (stupid traumatizing childhood, I'll be having my revenge soon). It took me a while before I realized that I had realized that it was a dream. I could cuddle with beautiful women just by asking for it, I could move through walls and go into totally different and bizarre places. I got into a futuristic train of sort, and moved from wagon to wagon.
I eventually got tired of it, and wanted to let the dream go on by itself, but I woke up in another dream. At that point I got a bit confused about what to do next, and eventually woke up for real. I didn't have any dreams like this since then, but I haven't really been trying either.
I guess it could be fun to see just how much control you can get from a dream. Sometimes dreams can feel very very real, I once woke up thinking I was a killer robot or that a zombie was drilling his finger on my back. Oh that finger had felt so %*#cking real, it creeps me out just to think about it.
I think a good technique is to prepare yourself mentally before you fall asleep. I never dream of the same setting twice, but I know how it feels like when I dream. I lay down and try to condition my brain to that feeling, whatever happens DO NOT FALL FOR IT, IT'S NOT REAL IT'S A DREAM. Problem is that I'm not sure what to do or how to do it after I find out it's dream, and I just lose it or wake up.