I dream in color. I can control them by stopping them. If I have a dream that makes me anxious, I tell myself, "I don't have to do this, I can wake up" and I do. I can't control anything else though.
I once dated a guy who planned what he'd dream before he went to bed. "Tonight, I'll dream about...." Like that. He had several recurring dreams that he'd choose from and ocne asleep they only varied slightly.