I've had similar experiences. some of them out of the blue (waking up from a dream in a sleep paralysis mode with only change in the room a friend that was there in the dream and not when my eyes opened there was a dark shadow that I had the hunch in the dream it was trying to mind control my friend by whispering to him , i tried to warn him and then became aware of reality. the last thing I saw before being able to move is that shadow silhouette running flying outside the room), I've also tried meditation and astral projection exercises which all of them resulted in a very very lucid dreams. So I believe there's something more in the dream world than just our subconscious. but remember one think.. never be afraid and always try to understand.
RE: The Man In My Sleep Paralysis Episode