Friend or Foe
Dream Characters can teach you a lot about yourself, but when you do succeed at getting lucid don't let them lead you astray. While lucid, Dream Characters will often want to take you somewhere, to show you something. The end result is more often then not convoluted, confusing and unhelpful. These parts of your psyche want to bring you back to unconscious levels. Don't let them.
The trick is to master your mind at all turns. I like to declare to the dream “If you're a dream character GO AWAY”. In these circumstances I'm often left with an empty room, but sometimes not. Now, whomever is left after that declaration, go talk with them. The journey has just started.