Lucid dreaming/Sleep paralysis.

[SO•Sebas]

Dreaming of falling and waking up shaking from the fall happens to me quite frequently.

Stephen's trick of the "3-2-1" works well when doing nightmares or falling when dreaming, you're sure to wake up.

As for Lucid dreaming, i've experienced it a couple of times and its awesome. The ability to "manipulate" your dream as you wish is impressive and quite freaky at the same time. I'm usually able to "trigger" the lucid part when i'm dreaming something that would be impossible (Flying, In car doing crazy stuff, running, etc..). Unfortunately, it lasts a couple of minutes maximum (Dream time) and you usually wake up afterwards.