While there is no explicit prohibition in the scripture against lucid dreaming, an inference can be drawn that the related practice of controlled dreaming is not beneficial:
Some dreams are evidently a gift from God (not all as has been identified in another answer), and should be received by faith after the exercise of appropriate discernment. If on the other hand, there is an attempt to control this as it's happening, the lucid dreamer would be engaged in a form of Simony:
Acts 8 (NIV)
18 When Simon saw that the Spirit was given at the laying on of the apostles’ hands, he offered them money 19 and said, “Give me also this ability so that everyone on whom I lay my hands may receive the Holy Spirit.”
20 Peter answered: “May your money perish with you, because you thought you could buy the gift of God with money! 21 You have no part or share in this ministry, because your heart is not right before God. 22 Repent of this wickedness and pray to the Lord in the hope that he may forgive you for having such a thought in your heart. 23 For I see that you are full of bitterness and captive to sin.”
Simon wanted 'control' of the gift of the Holy Spirit - this attitude revealed an underlying lack of repentance and bondage to sin. Wanting to control a dream given by God would be an attempt to pervert the gift of God similar to the way of Balaam.
One may argue that "Well I would only try to do this with my own dreams", but this would require you to despise receiving dreams from God as it's impossible to exercise the required discernment while you're asleep.
Dream control has some commonalities with divination and witchcraft as they all seek to exert control over circumstances through so-called 'spiritual' practices. It is therefore a likely path towards demonisation.
...do not give the devil a foothold (Ephesians 4:27 NIV)