Specifically, have you had dreams where you knew you were only dreaming?
I've had a few. For example:
I dreamt I was on a street near my childhood home talking to a guy when I suddenly realized it was only a dream. I paused for a moment to see if I would wake up. When I didn't wake up I thought that this was really cool and that I could now do anything I wanted. I told that to the guy standing with me and he said " Oh yeah? Then have a bunch of good looking girls drive up in a red convertible." It took a little while but then this red convertible drives up with some cute girls in it. I got the back seat. He got the front. Shortly after that I woke up. (Darn)
It seems that when this happens I don't have complete conscious control over the dream as I would in a daydream, but I do have some influence over the course of the dream. I was just curious as to whether or not this is common.