History goes that Aegon and his dragon conquered the seven kingdoms, which implies that Aegon had good command over his dragon. Jorah said something about the dragon to Dany that dragons can not be fully tamed. Did other Targeryens also have so loose control over their dragons or is it only Dany? The show doesn't give much explanation, does the book says anything over why Dany seems to be unable to control her dragon(s)?
Aegon had the luxury of having a whole clan of dragon riders around him. They had the knowledge and the expertise to tame and train a dragon. The novella "The Princess and the Queen", which chronicles the first Targaryen civil war (known as the Dance of the Dragons), had a more detailed look at the process of training a dragon (and rider) for war. It was a difficult and highly dangerous process even with all the facilities and expertise.
On the other hand you have Danaerys, who was born into a world that hadn't even seen dragons for almost 150 years. Not only that, she didn't have anyone around her who knew anything about dragons nor had she even access to books on the subject. It even took her a while to learn how to feed her baby dragons properly. In essence, she's flying blind.
The Targaryens who conquered Westeros were used to having dragons and training them. Dany just happened to hatch three dragons and she has to learn everything by herself.
Despite being born at Dragonstone in Westeros, Aegon the Conqueror's house came from Valyria along with their dragons. Valyria at that time was a hot place for magic, spells and dragon-riders. The dragon lords used magic to control dragons among other things. It is speculated that over-use of magic may have been the main cause for the doom of Valyria.
Daenerys however doesn't know the old Valyrian magic, nor have a way to acquire such information. Also, she sees the dragons as her children; she is hesitant to use such measures. This may change this over time.
In "A Dance With Dragons", Euron Greyjoy claims to possess a horn from the Valyrian Wastelands that controls the dragons. We can only wait for the book/show to elaborate more such relics.