This is known as a form of Lucid Dreaming. You can hit up wikipedia for more details. Everyone has them to some degree. As a matter of fact, you can't be in a lucid state (aware that you are dreaming) or even remember your dreams unless your concious mind is somewhat alert.
cool.. This morning, I had my first one since reading this thread. I tried moving my arm and came right out of it, and I never tried that before. Thanks for the suggestion.