OMG, I have all three of them: Depression, Lucid dreaming, sleep Paralysis! Before coming to this thread I didn't actually know what I have really been having,... I tried to describe my experiences to several doctors but never quite got through making them understand....
Yesterday night I had a really bad, frightening to the core experience: I was dreaming something (I don't remember) then All of a sudden I was aware that I WAS DREAMING! I was trying to wake up constantly but couldn't as if that weird state had some kinda vice-like grip on me! I was trying to scream out of helplessness but I also felt that no sound was coming out!! Then I actually succeeded to make a groan and that sound jerked me wake! Panting, my heart racing like it had been on marathon!!
In addition to these... very often I have trouble dozing off to sleep. Just at the point while I am actually dozing off, I feel something goes off in my head, jerking me awake with heavy, thumping heartbeats. This happens several times before I actually drown into sleep. Are these panic attacks? What do you guys think?? I tried explaining this to several doctors but no one was able to decipher what it is. I had gone thru several tests (CT scan, MRI, EEG.. etc) but they all came out normal.