I've never had a lucid dream. But! I have dreamt of being awake and trying to move my body, scaring myself in my dream because my body wasn't responding. Once I wake up I laugh my ass off
I've had it twice, both times facedown on a pillow so I literally was smothered and couldn't breath for a good minute. It was very scary
Sleep paralysis is really scary, a lot of the time people hallucinate terrifying things if they open their eyes... it's happened to a friend of mine but thankfully not to me.
A few yeats ago, after I woke up from Sleep Paralysis, I was having a panic attack. Possibly the worst night ever.