I actually had a mild case of PTSD thanks to this effect, actually.

My family had been dealing with Child Protective Services (long story) some years ago. One night I had dreamed that they came back knocking at the door and I told them "I've had enough, I can't take anymore. Just take the kids if you're going to." And they did, and I (still dreaming) went back to my recliner and went back to sleep. ((Note here :: I was sleeping in our recliner, in the living room, right next to the door at the time.)) I woke up in a full blown panic attack. Woke up thinking it had actually happened. The kids were still accounted for, but that dream hing in my mind for a full year. I couldn't help but feel like they -had- shown up and that maybe I had said everything I did in a state of sleep-walking/talking (I've done weirder).

Only when we requested to see the case files, after it was closed, did we learn that it never happened at all.