Not all the time. In one of my lucid dreams I was being chaced by a guy and I wanted to wake up so I tried bitting myself and it didn't work...
i had a dream once that a man was chasing me with a sword and i threw my hand back to get him away and he chopped my fingers off i thought in dreams ur suppose to wake up when something thing was bad was about to happen
BERSERK THE ANIME IS AWSOME I DONT CARE WAT YALL SAY

Not all the time. In one of my lucid dreams I was being chaced by a guy and I wanted to wake up so I tried bitting myself and it didn't work...
Like slayer said, i'm afrad sometimes people don't wake up even when bad stuff happans in the dream.
A generous heart, kind speech, and a life of service
and compassion are the things which renew humanity.
Buddha
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Read My Dream Journal for some reason!
"His Invitation Was Clear, I Shut My Eyes... And Now I'm Here..."
Come on guys, pretend your Chuck Norris! Do a Round-House kick and kill him!
What were you guys thinking? Lol

I think if you panick really bad and cry you might get excited enough to get out of the dream..
By no means do bad things eject you from a dream. In fact, bad things can often draw you farther in. Of course, when something bad happens, the best thing to do is pull a fast rewind in time. I've done it so often I often do it automatically in my non-lucids too =)
Although that ends up making many of them boring and predictable =(
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