I had my first lucid dream a while ago, and it was almost IDENTICAL to Inception. The second level was a lucid dream, and I could pretty much control everything as I saw it. The first level (after I "woke up") was out of my control, as I actually dreamt waking up. Then I woke up for real. I had my second lucid dream, which was much more vivid, while I was lying in hospital at night. I was on morphine at the time. It was actually quite scary, and I made a conscious effort to wake myself. This included throwing myself at the ground, which worked, although some sort weird physics went on when my face was inches away from the grass.
Recently I have been trying to induce lucid dreams in myself, although I have found it difficult, and have had no success so far. I have felt myself slip into what seems to be the conscious dream state, but I then panic, my heart rate goes up, and the sensation goes away. I never try if I'm in a bad mood, because I imagine that will just cause terrifying dreams.
I have had a few meaningful dreams in my time, the most vivid one happened when I was young, in a giant, multi-tiered play area. It basically told not to follow other people if I wasn't sure of myself (basically, I fell into an invisible pool with white plastic garden furniture in it after trying to follow my friends across a gap. Yes, it is weird. Yes, I still wonder to this day what the significance of the garden furniture was.)
Most people who talk about the subject say that lucid dreams can potentially be very scary. I have not had enough to confirm this statement, but from my initial experience in hospital (it was a short dream) I think they're probably right.