Martial arts?

Since dreams are a projection of your subconscious, I don’t think that you could really learn anything new. Dreams are an almost entirely self contained experience. Thus, if you don’t know how to do martial arts in the waking world, you couldn’t learn to do them in dreams.

That being said, I don’t see why you couldn’t try. If you’ve seen other people do martial arts before then you could probably try to imitate them. You could even develop your own style of martial arts in dreams. But, I don’t think it would carry over very well into the waking world, largely due to the unreliability of laws of physics in dreams.