I used to have them a lot but they have suddenly stopped. They are probably the scariest things that have happened to me. When it feels and you can see someone sitting on you and you can't do anything is the scariest.
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@Rebeccasayer: Nah lucid dreaming is when you can control your dreams and do what you want. When you feel like someone is sitting on you or something like that, that means you are extremely stressed, you're having a panic attack, and it's happening during your sleep. This is where the word "nightmare" originates from. It's folklore/mythology. The "mare" was a creature that would ride on your chest at night and fill you with anxiety. Hence, the nightmare. Read a bit about it. It's interesting.
@Rebeccasayer: It is so because in the norse mythology the nightmare is born in the same way the werewolf is born. :) Although if the "ritual" is performed on different sexes, different creatures will be made.
@MartinTheFirst: I didn't have a creature on my chest. It was a female. She was old and she was hiding half her face with her dark hair and she had a black cloak on and the hood was over her head. She moved like a snake. When she first saw me she would only move closer to me when I wasn't looking. Then she got confident and slithered up to my face like a snake.