Interesting question.
I have a feeling that you might be not be seeing the forest for the trees here, though.
Lucidity as a defined concept has only been with us for a century or so, sure, but lucidity as an activity of consciousness has probably been with us since we first learned to stand upright, or even before. Lucidity is a consequence of sentience, so I tend to assume that for as long as any person was able to say "I am," they were just as likely able to say "I am dreaming." They might not have been doing the same techniques or viewing their presence in their dreams the same way we do today (though I'll bet it was more similar than we might wish to assume), but shamans, priests, village elders, medicine men, bards, imaginative kids, etc., were probably just as aware that they were dreaming as we are today -- perhaps even more so, because they may have taken their trips to the dreaming realms a bit more seriously than we do today; since for many of them their dreams, and how they relayed them, were a matter of survival, and not just tools for entertainment or personal growth.
I think the LD'ers of yore did indeed see their dreaming worlds differently than we (or most of we) see them today. Their dreaming realms, to them, were very real places, places which were more or less extensions or completions of their waking-life existence. As such, their focus was much more heavily weighted by interacting with those places, and not by the no doubt (to them) obvious notion that they were personally experiencing those places. In other words, I would imagine that if, after he described his dream and its portents to you, you were to ask a shaman, "But did you know you were dreaming?" the shaman would very likely have responded with an odd look and something like "Well, duh. What else would I have thought I was doing?" Dreaming, for most of human history, was pretty much the only active link to the "More" we've all been seeking since sentience began, and those who were successfully using it as a tool for visiting that "More" probably knew that they were using that tool, before, during, and after the dream.
So I guess the tl;dr: here is that humans have likely been LD'ing for as long as there have been humans, but it wasn't until recently that we chose to pursue it as an activity unto itself, and in our typical western arrogance we also chose to assume that we invented that activity, and those who've been doing it for uncounted millennia were clearly doing something else, something less. But I think you already said that, Coatl:
 Originally Posted by Coatl
Is it because the anthropologists of old times didn't understand the phenomenon, so they neglected mentioning it? Or is it because any Indian dream of some importance used to be lucid, so the informants themselves neglected mentioning it? Considering the latter possibility, we should take into account two factors: (1) the "savage" way of thinking (which implies also the way of dreaming) is quite different from ours, and (2) the Indian dream training would start from the early childhood: children would be thoroughly instructed to remember their dreams and deem them important.
^^ There it all is, in a nutshell, I think, and a more clear nutshell than my rambling, at that!
There is also a possibility that a hunter-gatherer dream is something beyond the clear LD/ND plane, something partially lucid, but not in the way "I know I am dreaming"... I am forced to think about this option because of lack of evidence for the lucid dreaming among natives of old times.
That I'm not so sure about. Primitive hunter-gatherers may have had less to think about than we do today, but if they had achieved true sentience, then they would have had the ability to know they were dreaming just as they had the ability to know they were ranging through a waking-life world. I think, again, that that lack of evidence doesn't stem so much from a dearth of records as it does from the recorders of the time not seeing any reason to state the obvious.
This is a topic well worth discussion, I think, because a greater understanding of it would probably improve modern LD'ers dreaming experience. Lucidity is a state of mind, and that state can be much more easily achieved if our dreaming lives became as important (if, perhaps, not as perceptually real) as it was to our ancestors.
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