Yes. It is rare though I have done it once. Lucid dreaming I mean. I was five and I had a dream where the walls were closing in on me. O woke up before they did. Told my mom. She said to draw my way out and to put crayons next to my bed next time. So I did.
I once dreamed I was lost in a snowy city. When I realized it was a dream (I often know in a dream that it IS a dream), I tried to pick up a handful of snow and rub it on my face to wake up. I didn't feel the cold of the snow, but I did wake up. Once you know you're dreaming and you want out, it can be a struggle to wake up.
I have had dreams that were so frightening that I woke up scared to death & lying there in the dark brought no relief, hilarious dreams that woke me up laughing, dreams that caused me to cry, dreams in which I was being relentlessly pursued by an unknown foreboding entity, dreams that I was smoking & could physically smell the lit cigarette, dreams in which I felt exposed & vulnerable, usually in a store display window in my slip only & could not leave. Way into my marriage I began to have explicit dreams of my husband & me engaging in sexual behavior & both of us were enjoying it. Around 1996 I had a dream that a benign entity took me to the entrance of Hell & was about to lead me on a tour & I felt so horrified at the prospect of being there that I woke up shouting, "NO!" I have had dreams in which I knew I was asleep & was consciously watching myself sleep & saw me dreaming. I have dreamed that I was watching my dream & was thoroughly enjoying it like a good movie. Then I would become conscious & get up & go to the bathroom, all the while trying to stay in my dreamlike state so I could return to the dream. That actually worked, to my delight, a few times.
Yeah. I found out that in my dreams, my iPod is always unlocked. So, since I always lock it before I put in my pocket, I know I'm dreaming when I take it out and it's unlocked. I use my dreams to just relax, or practice guitar. I spent an entire dream boredly playing "Du Hast" by Rammstein because I could. It's nice having control in a dream. It gives me time to practice guitar (sometimes I'm too busy to practice). I have a book which I'll post the name of later in the comments here. Get it, because it's a good book.