Hey, thanks for the replies and warm welcome
It's mainly something I have noticed about myself, though it has been noticed by others who would ask "Are you alright?". I would get startled by their voice and respond "Yeah, I am fine, just drifted off". I guess the alarming factor is due to how vivid these are, sometimes more so than other times.

Re: sometimes thinking about myself can scare me, has that ever happened to you?
Yeah, thinking about myself can definitely put me in an abrupt state of panic depending on how deep the thoughts are.