There are lucid dreams - and then there are dreams about being lucid in a dream. You are right though, when you hit "real lucidity" it's like noticing that you are in another world with no idea how you got there. It's so real that it took me off guard the first few times.
If you realise that you are dreaming and want to wake up: the easiest thing to do is breathe in an irregular pattern.
When you are dreaming, your breathing and eye movements are effected by what you do in the dream (eye movements is one of the ways that LaBerge verified that lucid dreaming isn't just bullshit, some people thought it impossible).
If you start to take long, slow breaths and then short, rapid breaths, your body seems to think you have breathing trouble and awakens you. Takes about a minute or two, at most.
I wouldn't though, lucid dreams are a blast. Try flying.
The Marvster
Pushing through glass is trippy (to me it feels like melting plastic, but cold). I've tried pushing through walls before, but I always wake up or the dream deconstructs and I have a FA.
Your LD made me laugh, I've tried throwing myself at things to solidify the "dreamworld", works a treat. I like to stand in the traffic and play hulk, stopping cars with my bulk (I've been sent flying before though, when for some reason my dream decided that I could no longer stop cars... That'll wake you up with a start!)
You've made me want to begin LD practice again.
*Looks at hands then holds nose