I found this anecdote in Surely You're Joking, Mr. Feynman! by Richard Feynman. In the passage below, Feynman describes his attempts to analyze his dreams
I also noticed that as you go to sleep the ideas continue, but they become less and less logically interconnected. You don't notice that they're not logically connected until you ask yourself, "What made me think of that?" and you try to work your way back, and often you can't remember what the hell did make you think of that! So you get every illusion of logical connection, but the actual fact is that the thoughts become more and more cockeyed until they're completely disjointed, and beyond that, you fall asleep.
In the following paragraphs, he continues..
....I kept practicing this watching myself as I went to sleep. One night, while I was having a dream, I realized I was observing myself in the dream. I had gotten all the way down, into the sleep itself!
Is this possible? Can you observe yourself in a dream?
I discovered that I could turn around, and walk back through the train I could control the direction of my dream. I get back to the car with the special window, and I see three old guys playing violins but they turned back into girls! So I could modify the direction of my dream, but not perfectly.
I have heard of this phenomenon called Lucid Dreaming before but I have never heard that you can learn to voluntarily observe your dreams with some practice. Can someone clarify? Thanks.