I've had it happen a few times.
The first time was probably as a result of some experimentation with lucid dreaming. I "woke up" to find myself in my bed, unable to move, and sensing a malevolent presence hovering above the ceiling. I tried to move but couldn't, but I still had partial control over the dream, so I tried firing a barrage of lightning bolts at it Emperor Palpatine-style. This was totally ineffective, and I could hear the entity laughing at my attempts to ward it off, and even though I knew that this was a dream of sorts, I had this urgent feeling that I had to wake up properly right now, or else this being would find me. It really felt like it was not a figment of my imagination, but some other being intruding into my dream, who was thoroughly amused that I thought my dream-control techniques could have any effect on it. Anyway, I managed to force myself to wake up after a few seconds, and it took me about a minute to convince myself that it wasn't really some crazy spectral entity telepathically invading my subconscious. I'm certainly glad I'm not superstitious, or I'd probably have been living in terror as a result of that experience ever since.
I've only had a few other experiences since. Recently I've been attacked by various gods (probably because I've been reading a lot of mythology lately). I had one dream in which I was pretty much in control of everything; I was completely aware I was dreaming and had god-like power over my dreamscape. Anyway, I woke up to find this dark-skinned god sitting at the end of my bed, and I could tell that he was annoyed at the lucid dreaming I'd just been doing. I couldn't move, and I asked him who he was, but he laughed at me and flew towards me, at which point the bed started shaking ala The Exorcist. I told him I was sorry for the lucid dreaming stuff I'd done, and he flew back away and revealed himself as Thanatos, before disappearing. At some point around then I awoke proper, but the scary thing was I was unable to pinpoint exactly when I had woken up - the last I saw of Thanatos, the flash of his white skull as he disappeared, remained seared into my retinas even after which point I definitely knew I was awake. That was pretty scary for about a minute or so, until I realised that if I had really been attacked by a god (and this wasn't just any god, but Death!), then I'd hardly be alive afterwards, now would I? Again, it was pretty easy for me to accept that this was nothing more than an (incredibly convincing) figment of my imagination. The fact that under nearly identical circumstances I had witnessed hundreds of cyclists taking part in the Tour de France (who for some reason didn't seem to realise that Adelaide isn't in France) cycling past my bedroom window in a much more mundane sleep-paralysis incident also helped to reassure me that it probably wasn't real.
Anyway, with me, it's rare enough that it's kind of exciting when it does happen (well, at least just after it's happened), because it is something of an interesting experience. I probably wouldn't like it if it happened all the time, but I wouldn't mind if it happened a little more often.