This isn't technically a console, but it sounded really cool.
Do you guys remember those Fingerhut catalogs in the 90s? The ones that had all the weird, cool shit you could order that you couldn't find at a normal store, like Hollywood masks, singing fish, and other novelty stuff?
Well there was this one machine that promised "lucid dreaming". What this machine did, is that it would detect when your brain entered dream-sleep. Then it would inform you. Once you realized you were dreaming, the idea was that you would be able to control your dreams.
Sounds awesome, right? Never got to try it out.