Reminds of a line from Twin Peaks. Cooper is telling somebody about the strange experience he had --- (paraphrasing) "Not a dream, a mere sorting and cataloging of the day's events by the subconscious, but a vision--the mind revealing itself to itself."
That tends to be what I use the lucid state for, when I can get into it. When I realize I am dreaming, I generally do one of two things:
Visualize a door, and then open it
Look directly into the sun, and then fly towards it. Just let myself be consumed by the light and the incomprehensible size until I am inside the sun, with God
in both cases, I'm not sure what I will experience, I'm always curious what my mind will project into those mysteries