These "lucid dreamers," the ones that really get into controlling their dreams and such; they say there are a couple giveaways to let you know when you're asleep:
1) Look at your hands. Something weird always involved with the fingers or something. Too many, too few, or maybe they just move strangely when you wiggle them.
2) Check the time. Not sure what happens here, but clocks and watches supposedly act funny in dreams. Maybe dream time is just inconsistent, so might have to look twice.
They say the oddest of all is looking at a mirror. After you check your hands/clock and know you're dreaming, find a mirror. Tell me what happens, I'm interested.