It sounds like sleep paralysis, and it can be quite frightening if you aren't used to it. Some things that I have seen during sleep paralysis are:
1. A tall dark figure standing at the end of my bed. I couldn't see very well, almost like my vision was like a bad VHS tape that had been recorded over too many times.
2. An alien-looking creature almost identical to Morbo from Futurama except he had scaly skin and yellow cat-like eyes. I wasn't actually paralyzed this time and he disappeared after I blinked my eyes.
3. Something compressing my throat and chest, while I could feel something walking around on my head and pillow. Also my pedestal fan sounded very strange, like it was spinning slowly and making a dull electrical buzz, but when I came out of my paralysis it returned to normal.
From my experiences, I figure that practically all alien abduction and ghost stories can be attributed to sleep paralysis and hypnogogic hallucination. There also seems to be a very strong link between poor sleep cycles and the occurance of these episodes.
Edit: When I saw the thread title I immediately thought: Dear Penthouse...
