That happens to me when "the nightmares" start in. Once my depression gets really, really bad, I'll start having the worst nightmares. If I remember them, they'll keep me up for days. At other times I might just remember that I had one, but no details and will wake up totally freaked out; instead of panicked though, I'll be agitated and angry. So once in a while I'll not remember the nightmare and still wake up furious and agitated.

My guess is that you're having the same issue; dreams that are causing panic attacks while you're asleep. I would definitely make sure your therapist all about your nightmares so they can help.

One trick I use is to get my mind "prepared" for sleep. If I go to sleep agitated, then the nightmares will come on. I make sure to focus on something positive, take my mind off negative things and do something mentally positive (I say mantras and prayers myself). That helps bring on the positive dreams for me.