One major potential of lucid dreaming is to work out anxieties – from public speaking, to flying, to asking someone on a date. The lucid dream can be a place to vividly practice the desired skill, while not worrying at all about any actual real-life consequences. Many have found that the lucid dream state is perfect for this kind of confrontation of fears and/or rehearsal of what is feared. It may not take the place of traditional therapy when these fears are severe, but might still be worth telling your therapist that you do have lucid dreams because s/he may want to give you assignments for your dreams!
Inagine you are afraid of public speaking. Once you get expert at lucid dreaming, guide your dream world to a place as similar as possible to where you might find yourself having to give a public presentation. Then give the presentation and guide your lucid dream toward an environment where the speech is a huge success, and where you feel completely calm and excited about the experience.
You can even get creative with the lucid dream rehearsal technique. You can imagine yourself in the audience for your own talk! Look around and see people interested and exited about the topic. Notice yourself up front looking calm and relaxed. Or, imagine being at a gathering afterwards where you are thinking back on the positive experience of giving the talk, and having people come up to you to tell you how great it was.