One thing I have noticed very quickly is that I get a lot of nightmare-ish dreams. Usually I'm not afraid, but when the dream gets too intense, I have found I can wake myself up from the dream. (I realized this ability when I was like four. Never really fully understood it.)

That early technique I use to do was I close my eyes tightly! Very tightly. Then between fighting to keep them close and fighting to get them to open (it's eyelids fighting eyelids. My hands stay at their sides) I somehow force myself awake. Major problem is, I wake up so abrubtly I fall back asleep almost immediately. But it's a good technique to help.