Fountain of Knowledge

It can't be entirely subconscious, or it would be nothing more than a dream; nor can it be entirely controlled, or it would be nothing more than making up a story. It's got to start somewhere in between, traversing the subconscious without veering into insanity. What you're asking is how to accomplish that.

The first precaution is not to undertake anything like this without proper grounding. This doesn't just mean visualizing oneself as a tree or mountain, or using some other traditional grounding exercise, it also means having one's life in order. Someone who can't make it to work on time or take care of other responsibilities has no business monkeying around with this stuff. That may sound like common sense to the "no duh" degree, but I've seen so many people try these techniques without proper grounding, and end up making their troubles in the mundane world all the more serious.

Another common-sense measure, especially for beginners, is to set a timer. Otherwise you can get so freaked out about getting lost you won't be able to concentrate.

One technique for controlling what happen during a journey is to have some sort of little activity beforehand, in which you suggest parts of the journey to yourself by writing suggestions down on a slip of paper, or simply verbalizing them. This is just what you'd do before lucid dreaming. This tends to work best for a short, focused journey.

People who do this more regularly often are in contact with one or more spirit guides. If there's a trusting relationship already in place between the traveler and a guardian spirit, some of the control can be handed over to that entity, by asking the guardian for help getting to some particular place, identifying a question to be answered, etc. In this way a longer, more complicated journey may be undertaken with a considerable degree of control.

Traditionally, travelers use symbols as navigational aids. European witches would picture the astral body as a white mouse, which would leave the body through the mouth, perform the journey, and come back. Another technique is to use a rope or silver thread, and climb along it. There are also traditions from around the world that can be used as part of a journey, from shamanic ointments to Asian breathing techniques. Always the goal is to be able to transcend the limits of the conscious mind, while still retaining the ability to return.

A couple side notes: One, astral travel is often called other things--shamanic journeying, shapeshifting, etc. Two, this stuff works whether you regard it as a manifestation of supernatural realms, or as a purely psychological phenomenon. There's no need to take any particular religious or philosophical viewpoint.