A wake-initiated lucid dream (WILD) occurs when the dreamer goes from a normal waking state directly into a dream state with no apparent lapse in consciousness.
During the actual transition into the dream state, one is likely to experience sleep paralysis, including rapid vibrations,[9] a sequence of loud sounds and a feeling of twirling into another state of body awareness, "to drift off into another dimension". Also there is frequently a sensation of falling rapidly or dropping through the bed as one enters the dream state. After the transition there may be the sensation of entering a dark black room from which one can induce any dream scenario of one's choosing, simply by concentrating on it. The key to success is to not panic, especially during the transition, which can be quite sudden.
Well, that sounds pretty damn cool, actually.