Think you've never had a lucid dream? Think again! Remember all those nightmares you had when you finally said, "Enough of this crap! I'm outta here!" and yanked yourself awake? Lucidity! Of course, you could have hung in there--the shamanic way--and actively worked with the nightmarish elements of your dreams to find what secret treasure they hold for you.
And then there's the forgetfulness factor; you've probably forgotten lucid moments or entirely lucid dreams. My sense is that this sort of thing is natural, normal and common, although seldom remembered by the conscious mind when awake. The lunar self has all the fun!
Here's a rather well-done piece by Stephanie Rosenbloom of The New York Times about lucid dreaming: Living Your Dreams In a Manner of Speaking (Sunday, September 16, 2007).