One night, four years ago, I lying in bed trying to go to sleep when I had an experience that still freaks me out today. I was laying on my side in bed(queen size) with my blanket over me trying to go to sleep when my blanket just slides off me on the floor. This is a queen sized blanket, completely on the bed, save 1/5 of it. If that wasn't enough, I started hearing this increasingly loud ringing sound that sounded like trains squealing on the track, and it got so loud I thought my head was going to burst, I couldn't even think, literally. The sound eventually went away, but what happened next just made it worse. As I was laying there still, I started to feel a pressure over my whole body, like I was being forced down all over. I was too afraid to move to find out if I was right. But when the pillow started coming up to my eye, I knew, and when I tried to move, I couldn't. I tried to scream, I tried to yell, run, anything. After a minute or so, I was finally able to say "I'll get out." It was almost inaudible it was so quiet and hard to say. But when I did, the pressure let up, and I bolted. I never went to bed that night. I stayed up all night watching the rocking chair in the living room rock back and forth, unoccupied... still scary, even today.

It is a common dream. You think you were awake but you weren't until the moment you got up and left the room.
It's also possible to hallucinate in ways like this for certain physiological reasons like hyperthyroidism or a mini stroke.
I have had about 2 such dreams in my life, and I felt awake but I do believe that I was really on the edge of a dream. When your dream involves being right where you really are (in bed in the middle of the night), and awakening partially, you can still be dreaming.