From what I've found through research, lucid dreaming appears to be rather uncommon/unusual. Why is it so uncommon?

While it is uncommon compared to other activities like yoga or meditation, lucid dreaming has had a bit of an uptick in popularity in the past decade. 2016 had upwards of 60 books published that focus on lucid dreaming and other forms of dreamwork. Additionally, I’ve seen that 70% or people have had a lucid dream (Some People Are Using Lucid Dreams To Be More Productive While They Sleep), though I believe that statistic is for people who have had a lucid dream, NOT people who are actively pursuing it. We’ve also seen several lucid dreaming headbands/mask, as well as dozens of apps, come out in the past 5–10 years. There has also been several movies and TV shows that use lucid dreaming as a main plot point.

But all that said, I agree, it is far too uncommon for the amazing experience that it is. I think that this is due to the culture that we live in (I’m speaking to western culture here in America). We just don’t give that much attention to our dreams. If we have a nightmare, we’re told to “not worry, it was just a dream.” Rarely do we discuss what we dreamed over the breakfast table. Our attention span is shortening and we’re becoming busier than ever and lucid dreaming is a practice that requires patience and a present mindset. We’ve essentially been training our whole lives not to worry or focus on our dreams.

In talking with and teaching people how to lucid dream, I’ve found that many, many folks have had at least one lucid dream, but because of cultural upbringing, they haven’t felt comfortable or even interested in sharing their lucid dream. A lot of people don’t realize that it is a unique experience that can be practiced and improved upon, so after their first lucid dream, they kind of forget about it.

But I do see this shifting. Every year, more and more lucid dreaming books are bought, more online classes pop up, more members join the message boards, more LD technology comes out — it is becoming less uncommon.

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Jared Chiang-Zeizel
How can we know for certain that we are not in a dream?

I suppose you can't be 100% sure, because our understanding of dreams, consciousness, and our very existence is still lacking. That said, we are very adapt at identifying whether we are in what we perceive as the dream state or what we perceive as the waking state.

If, for a second, we can all agree that the waking world is part of a three dimensional, physical universe and dreams are a hallucinatory experience that occurs during the REM stage of sleep, then there are a few tricks that can help us know if we're awake or dreaming. These tricks are often referred to as reality checks. Due to the fluid and inconsistent nature of dreams, we can employ various techniques that help us detect "where" we are.

Here are a couple:

1. Read something, then turn away. Now turn back, does it say the same thing? In the dream world, words and numbers often change when unsupervised.

2. Jump. Do you "fall" or “float” back to the ground? In the dream world, gravity can act a little different than it does in the waking world. Things are often a bit more sluggish when we're dreaming.

3. Try pushing your finger through your hand, does it go through? In the dream world, our "dream body" is just as mailable as the surroundings. This often allows, for objects to pass through us.

4. Speaking of hands, look at them. Can you see them? Sometimes in the dream world, we don't actually have a body.

5. Seriously ask yourself this question: am I dreaming? It might seem silly, but try to retrace the past couple minutes/hours of your life, do they make sense? Are they logical? Dreams can be very strange, but despite that, we still view dreams as "real" when we’re in them, because we're not actively questioning our surroundings.

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Jared Chiang-Zeizel
I keep seeing my ex-girlfriend in my dreams. What should I do?

Ask yourself "why?". Why do you keep seeing her? How did the relationship end? Are your conscious thoughts about her positive or negative? 
Dreams are often a reflection of what our subconscious is dealing with. Sometimes it's just that and the "problem" will work itself out. 
But sometimes it's not that simple. I find that dreams (especially recurring ones) are really a message from our subconscious. If the dream continues to plague you, do a little self-psychoanalysis and try to figure out what components of the relationship are unresolved. 
Once you have answered the above questions, you can start to figure out what the next steps might be.

Bonus: You could also try and become lucid in the dream and have a conversation with her. She might tell you right upfront what she's doing in your dreams.

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Jared Chiang-Zeizel
Is lucid dream a real thing?

It definitely is. While it has been practiced for 1000s of years, it was only scientifically confirmed in the late 1970’s. Lucid dreaming isn’t astral projection or spiritual fu-fu, it is as you say a "real thing”. It’s something anyone who can dream (which is almost everyone) can do.

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Jared Chiang-Zeizel