This is actually pretty common and is recorded as happening as we pass from one dream state to another, typically when we first go to bed or just before getting up--like very light to deeper sleep or sleep to a waking stage. Less often it might happen during the night, as we go in and out of REM sleep. We do become consciously aware of this shift and, startled by it, wake ourselves.

Mostly a nuisance because for some it can become a habit and cause sleep disturbance. It can also just be plain scary.