Lucid dreaming is just great, i do it all the time. What you said about it takes alot of practice is true for alot of people, but i was able to do it the first time i tried. At first it was hard to do much, tried flying and ended up flopping around sliding on the ground, which was fun in itself. And yes you can do anything, every wonder what it would be like to see in 360 degrees vision? well with enough practice you can. Anything you can think of, you can do, it really does show just how powerful your mind is. There are tons of sites about it, im lazy and not going to look for you, hint though: www.google.com
One other thing, i find the best way to stay in a dream when you feel yourself coming out is to spin in a circle really fast (in the dream of course). This almost always works for me.