Lucid dreaming is a state in which you know you are dreaming, and can control the dream. While it's difficult to get started (I'm still working on it), the notion of influencing your own dreams is tantalizing. There are plenty of resources on the web to get you started: How to Have a Lucid Dream is a good overview. Dream Views is a well-designed source of information and tutorials. Wikipedia has a page on lucid dreaming as well.

If you're not interested in working on your own lucid dreams, you might watch The Science of Sleep for Michel Gondry's take on dreaming.