When I realise this I then have the struggle to wake out of the dream of a dream.
It can sometimes be quite distressing - even when you realise that you are dreaming.
When I first experienced sleep paralysis it was truly disturbing as I genuinely thought I'd had a paranormal experience and been visited by some sort of evil entity during the night. But as time went by and I read about the symptoms and sleep paralysis and that it's nothing paranormal or to worry about, the episodes became less distressing as I recognised them for what they were during them and found it easier to snap out of it at will but sometimes I just have to grin and bear it as I can't snap out of it but know that it's just a hallucination, no matter how vivid the experience is.
As time went by sleep paralysis has become rarer for me, but instead, I just experienced the hallucinations without the paralysis, so I can toss and turn and sit up in bed, while seeing/hearing freaky **** going on.
I've no doubt that a lot of paranormal experiences can be chalked up to sleep paralysis & hypnopompic/hypnagogic hallucinations. The experience can be very vivid and it's quite different from dreaming. I get quite vivid visual, auditory and tactile hallucinations. Voices outside my window calling to me, shadowy robed figures in my bedroom, something in bed clawing at my legs (these are the most annoying as I can feel something sharp clawing at my flesh, it's quite unpleasant).
Swarms of insects on the walls and ceiling that I can see crawling around and hear buzzing is a common enough experience for me and I understand it's a common experience during night time hallucinations.
Recently I was lying in bed after waking up in the middle of the night and could see a little leprauchan/gnome fellow on my bookshelves a few feet from my bed, dancing on the shelves. Little dude about a foot tall and in a hat, just dancing a jig on the shelves. I watched him for a while, quite amused, until I went back to sleep.
I once went to the bathroom in the middle of the night and while walking to the bathroom, passed by my brother who was sitting on a chair with his throat slit. Just sitting there casually bleeding from his neck. I passed him on my way to and from the bathroom and just thought it was weird that he should be sitting there on a chair with his throat slit. I genuinely couldn't tell afterward if I'd had a very vivid dream of waking up and going to the bathroom and this happened in the dream, or if I was half asleep when going to the bathroom and still in a somewhat dreaming state.
It's all quite weird really, but it's no longer distressing when it happens, and sometimes I actively enjoyed the weirdness going on, especially when it's really off the wall stuff like leprechauns dancing on my bookshelves.