Last summer I actively tried to make myself have lucid dreams. After a few weeks of almost accomplishing the task, it finally happened. I had full awareness that I was asleep and attempted some stuff I knew was only possible in the dream world. It wasn't exactly what I thought it would be, though, as I found that my dream self was still bound by some limitations (ie I couldn't fly).
I heard several stories of folks losing themselves in their ability to have lucid dreams. For example, I remember reading about some guy (he was either here on NT or in my philosophy course back in freshman year) that had Darth Vader tell him not to tamper with what he didn't understand.
I don't actively try any more. It's better to just reflect on them when you're awake than trying to dictate how they play out during.
Deja Vu is a whole different ball game. It's cool when it happens because I always try to remember what happened next in my dream to see if it will actually happen in real life.
See how OP said he told those people that they only exist in his dream?
Ever wonder if it's possible that we're all just living in someone's dream and life as we know it could come to an end in the blink of an eye? No pun intended.