In real world we are bound by many rules such as law of physics, conservation of energy, life and death, and so on. In our dreams we are also bound by many rules. Where are they from? They are our own creations. We are both the creator of these rules, and their "victims."
For example, someone with Buddhism beliefs may believe that her ability to fly is determined by how well she've cultivated her mind. By believing in this she may indeed encounter difficulty to reach higher altitude in her dream flight. Not only this limits her ability to fly, at the same time she actually "implanted" whole bunch of additional "hidden" rules into her mind -- rules which are imposed by her Buddhism belief system.
Another common belief is that you need sufficient "energy" to power your dream. When energy level is high you feel almost invincible, and when it gets low you are left helpless in your dreams. Question is, what exactly is this so-called "energy"? Depends on what you believe in, you may end up importing many hidden rules that further limit what you can or cannot do. Suppose your idea of energy comes from the practice of astral projections, you will likely spend much time working out your chakras before you can travel far, despite the fact that there is hardly such a concept called "distance" in the dream world. Meanwhile, you may only exist in the form of your astral bodies, and thus miss the opportunity to experience the formless state often associated with higher state of consciousness.
Even if you are not influenced by any religious beliefs and spiritual practices, you may still end up importing large number of hidden rules into your dreams. These rules come from the physical world. Why do you find it difficult to pass through walls? It's because subconsciously you expect a solid object to be impenetrable. Why is instant travel so hard to accomplish? It's because in your subconscious you expect it will take time to travel through any distance.
Every time we begin a dream, we instantly establish a framework of rules, some are obvious, and some are hidden. The moment you step into your lucid dream, you become part of this framework, and your actions are now confined by its many rules. It may appear that you are discovering new principles of your dream world, but in essence they are just manifestations of the hidden rules.
If you want maximum degree of freedom in your lucid dreams, then it is essential for you to understand the above theory. You will want to throw away as much as possible the many concepts and prejudice that are cluttering your mind. You should enter your fantastic dream world like a new born baby with the purest mind and an innocent heart!