It sounds stupid (because it probably is) but sometimes when I'm lucid dreaming I actually try to go through walls and I seem to be unable to do that even though I'm telling myself that nothing is real. I don't know why I'm trying to go through walls... or why it's a recurring theme... and it might actually mean something now that I'm typing it and I should look into that more :O
I know that for some people they have much more power in their lucid dreams and they can probably do that with no problems and even fly. I haven't been able to fly in dreams yet, just jump really high or float.
I love this, really interesting.

I've said it before, but when I still had lucid dreams fairly regularly, I only had them in nightmares, and I'd just want to end those as soon as possible, so I never experimented much.
Speaking of nightmares, I had a nasty nightmare last night. D: But the interesting thing about it is... Colorful Arty was the villain! o_O Sorry Arty, I do like you, maybe this happened because of the Bowser's Castle talk we had?

I also think the subject of it might have been inspired by reading
Ninety Eighty-Four recently.
Anyway, in the dream I was getting tortured by Arty, and I wanted it to stop. However, he didn't! I decided I would just undergo it and wait for it to end, even though the pains inflicted on me (spread across several days if not weeks) kept increasing. At some point I asked Arty if we were done now, but he said he was going to use liquid nitrogen on me next (I had warts many years ago and they were treated with liquid nitrogren; it hurt horribly and didn't even end up helping). I couldn't bear the idea of this so I asked him if we couldn't call it quits, but he wanted to keep going. I then tried to run from Arty, and came across two ladies. I explained my situation to them (and this is really interesting, because because of this I've got a fuller story): on Lemmings Forums, Colorful Arty had made a post saying that he was interested about the nature of pain and how pain worked, and that he would like to do some experiments. I had replied that pain intrigued me too (lol), and that I wouldn't mind collaborating in some experiments. But I regretted saying this, as Arty quite abused me, and I wasn't able to take the pain anymore.
However, at this point I had got somewhat lucid, I think, because I said to the ladies something like "I'm not sure if he [(Arty)] is a figment of my dreams or an evil spirit, but I'm quite certain he is not of flesh and blood." Shortly after I woke up. But it wasn't day yet, so I fell asleep again, and the dream continued.

Arty wanted to continue torturing me, and I tried to wake up, and did. But when I fell asleep again the nightmare continued once more!
Finally when I had waken up again I prayed that the nightmare might subside, I changed my alarm to be a bit later so I could get some well-rested sleep, and I slept until the alarm.