I'm currently reading Andrew Holocek's Dream Yoga: Illuminating Your Life Through Lucid Dreaming and the Tibetan Yogas of Sleepand quite enjoying it.

Soon I'm planning to read Clare R. Johnson's Mindful Dreaming: Harness the Power of Lucid Dreaming for Happiness, Health, and Positive Change. I've heard good things about it and I like the videos of hers that I've seen on YouTube [LINK]. Johnson just became the president of the International Association for the Study of Dreams.

A long time ago I read Patricia Garfield's Pathway to Ecstasy: The Way of the Dream Mandala, and found that quite unique and fascinating.

Mary Lucy Arnold-Forster's Studies in Dreams is an early classic rescued from obscurity by Daniel Love a few years ago. It was really interesting to read her thoughts on the subject, especially as she was doing her pioneering work before lucid dreaming was widely known and understood.

As someone else mentioned, the classic work by Marquis d'Hervey de Saint-Denys, Dreams and the Ways to Direct Them: Practical Observations (available as a free download here) is another fascinating early work on the subject.