You're lucid, having the time of your life and all of a sudden it becomes a nightmare! How do you wake yourself up?

The first thing you need to remember is that it is YOUR dream and YOU control it. You don't have anything to be afraid of, and can make anything you don't want in your dream to go away.

Another thing to note is that you can try to change the dream scene. If there is a door nearby, walk through it and imagine the scene you want on the other side. You can also close your eyes, imagine a new dream scene, and when you open them expect to be there!

If you still want to wake up, here are some ways you can do that:
Tell yourself to wake up. This is the most common method, and has a high success rate.
Think of your real body, lying in your bed. If you think about it hard enough, you should wake up!
Blink Rapidly in the dream. This often will jolt you up, and you will be out of your dream!
Kill yourself in the dream. Find a way to kill yourself, and you will probably wake up. (quoted straight from the FAQ section)

It's almost like reading the FAQ section can prove to be helpful! Shocking right?