In my case, and probably many others', I usually hear something just as I'm falling asleep. I frequently hear someone speak my name, a knock on the door, or a loud thump like something heavy falling and always just as I'm about to fall asleep. Other than these "phantom" sounds, I'm conscious and aware. I've never imagined I was anywhere other than where I actually was.

There are only a couple of times when I've seen things that weren't there, but as with the auditory elements of these dreams, what I "saw" was in my actual location and everything else was really there.

The strangest situation was when I woke up, mostly, to three shadowy figures standing over my bed. I couldn't move or speak. Strangely, I was aware of the hallucinatory nature of my visitors and felt only a calm curiosity. I surveyed my room to see if it was part of my dream, and I'm pretty sure it wasn't. Everything I could see was positioned precisely the same way after I forced myself to full wakefulness.

I've had one or two similar occurrences, and I get weird looks when people ask my about belief/ experiences involving ghosts, and I tell them, "Yes, I've seen them, and no, I don't believe in them."

Or a hypnagogic state? [en.m.wikipedia.org]

A lot of folks experience them but never know what they are. And they are normal.