Fantastic thread subject! Even if you've revealed far more info on your sex life than you probably ever intended to do, but hey! That's the cost of your awesome story!
I can't say I had any sexual Lucid dreams, regular sure, but definitely not lucid. As far as strictly Lucid dreams go, I can't recall any video game related ones but I have been Spider-Man a month or two back which was completely awesome. I was taking down thugs and saving people and I gotta say that there's nothing like swinging around with the breeze on your face. It's a fantastic feeling. The Spidey-sense is well.... sensational. There must be a chemical injected by the brain that causes a distortion of reality to make it feel like it slows down, because it doesn't actually slow down since time is relative but the conscious mind perceives it so which increases reaction time.
I also had a DBZ dream probably over a decade ago. I fucked up Android 19 like Vegeta by ripping his arms off with my feet. Flying around and kicking ass but I'm not going to lie, whenever Cell showed up I ran like a bitch. He was so fucking OP it was straight up bullshit! It was definitely a Lucid dream as I had control of pretty much every aspect and was fully aware but Cell who somehow would out match whatever power level I decided to go power up to. The dream was fucked because I could teleport between worlds by going to peoples houses and using their N64 like the Dreamcasts in Monster Rancher, I shit you not. I dimension hopped like a bitch when Cell showed up. I could sense him from a long distance but that motherfucker flew faster than I could so I had to dodge and pull off some slick maneuvers and hope that I make it to the nearest N64 so the asshole doesn't absorb me. Yep, perfect Cell had his tail coming for me. He was literally a jackass trying to fuck up my playground time in the best form of Virtual Reality that will probably ever exist in our life time.
I've had tons of lucid dreams in my life and many more will come. Some of them blur reality so much that I feel rather unsure if a few of them weren't more than just dreams. They can be that damn convincing. A couple of them really blew my mind when I found something on Google based on those dreams and others have had similar experiences as well.