Yes, many times, though for me it's always, "Okay, if I can make myself move then I will wake up." and I concentrate all of my will on wiggling my toes, or shrugging a shoulder, or something small like that. As soon as I realize I'm in a dream then I can become aware of my real body, but I have to really work at controlling it. There have been a few times when I have not been able to wake myself up for a while, and actually got really tired trying (I know that probably sounds silly when I'm already asleep) and had to find a safe place in my dream and then try again.
Only once REALLY got my attention -- I had a dream that someone was trying to shoot me, but when I tried to get out of the dream the first time it felt like I'd hit an electric fence and I couldn't get out. That's the first time I really wondered what happens if you die in a dream, because mine are so realistic that I'm not so sure my mind would know the difference.