I remember, I once had a couple of lucid dreams...
I started doing random crap inside a version of my old school cafateria that resembled second life...
It was weird, because I kept worrying I was actually awake.
Another time, I had this really long sequence of events that were fairly coherent, come to think of it...
Though one of the worst feelings imaginable is when a lucid dream turns nightmarish... though the key thing with those is that almost all nightmares pass quickly.
But I really must try that. I've attempted lucid dreaming before, but not on a scale as to 'live' in my dreams, 100% aware. Never really been that sleep deprived before, I suppose. Though I believe I once spent about half an hour on one of my longer dreams wandering about...
P.S. Sex is in fact possible inside lucid dreams... I've done a bit orf exploring myself.