Yes, there is a very simple technique. You can learn it in full from the book Lucid Dreaming by Stephen LaBerge.
Lucid dreaming is dreaming and knowing that you are in a dream. It's fun! You get to make all kinds of interesting dreams happen. Last night, I dreamed I was in a car with my wife. She was driving, and we went off an icy road and were falling towards an icy river. Because I knew it was a dream, I was able to make the car gently float down, turn, and return to the road. Then we got out and went into a cafe for cocoa.
The simplest technique is this: Before going to sleep, gently ask yourself, over and over, "Am I dreaming?" Then when you start to dream, you will remember the question, and ask it. Then try to jump and see if you can float or fly. If you can, then you're dreaming.
My favorite technique is called re-dreaming. When i wake up from a dream, I lie still and quiet. I decide how I want the dream to go differently. I tell it to myself as a story and drift off to sleep, and, pretty soon, I'm re-dreaming the story I want.
Mindfulness meditation and Zen meditation (both taught in Buddhism) support staying conscious in dreaming, as well, as do some Tibetan meditation techniques.