I've been at it for a long time and have a few hubs about it. I started off using it as a hedonistic playground with lots of flying, exploring and sex. The novelty never really wears off but to really understand this state you need to go into the lucid dream with an agenda. What to ask the dream, who to meet, how to interact with the characters etc.. One of my big turning points has been to treat the dream and it's characters with respect and give them their own autonomy when due, rather than considering the dream and it's inhabitants as my own unconscious playground. I've had more profound experiences this way.
Still, even after 15 years, soaring high into the air immediately after the onset of lucidity is still one of the most exhilarating sensations I've ever experienced, asleep or awake.