Lucid dreaming? While for many, lucid dreaming may be spontaneous, for others, it's a learned practice. I lucid dream quite often, and have had several in which I've outright stated that it was a dream and that since it was happening in my head, then it is mine to control.
A bit unnerving, though, when the people who inhabit my own dream tell me flat-out that I "don't own this world. They do."
As for feeling things in dreams, that's also very common. I've felt, smelled, and tasted stuff in my dreams. It is usually drawing from memory for those sensations, as if it's one that you experienced, the sensation will be accurate. If it's not something you've experienced, the sensation tends to be relatively vague. For example, recently I was tazed in a dream. Outside of that, I've never been tazed. The sensation was a generalized vague pain, with a sharp pain where I was tazed, most likely drawing upon the memory of an allergy test I've had done.
Feeling sensations tends to coincide more with deeper sleep, from what I've seen. Though, if one has a narcoleptic attack, in which they fall directly into REM sleep, the sensations in whatever brief a dream can be quite vivid.