I am a natural lucid dreamer. The ability to be conscious in a dream runs in my family. I don't know if this is genetic or cultural inheritance, it is probably a combination. The first time I experienced and remembered a lucid dream, I was maybe five years old. It's difficult to pinpoint the exact age and time, because of the way memory works in a small child. From the memory of which bed I slept in, I was definitely older than three and younger than six.
It was early morning, and I had just had a pleasant dream. In the dream, I was walking in a beautiful park. It felt free and safe, and the only person in the park apart from me was an old man. Both of my grandfathers died before I was born, but this dream character felt as safe and magical at the same time as I imagine a grandfather does. He told me that it was easy to come back to this place. I just needed to fall asleep again after waking up, and I'd be back. Shortly after that, I woke up.
It was still dark, and quiet, so it took me a short time to fall asleep again. To my delight, I was back in the park! This time, I knew it was a dream. I can't remember if the "grandfather" was still there, but I spent several minutes exploring the dream park. It felt like I had just made a great discovery.
Today I know that this is called a lucid dream, and the technique that gave me the lucid dream is known as dream re-entry or DEILD. LD4all has several topics on it, this is a FAQ. It has continued to be one of the most reliable ways for me to get lucid through the years.