I've experienced this many times...exactly as you describe. The most memorable of those times were during daytime naps, probably because it was light in my bedroom rather than really dark as it would be during the night, so I clearly recall being able to open my eyes somewhat and seeing my ceiling fan during the lucid dream. This does not interrupt the dream, and you are able to continue the lucid dream with eyes open or closed. It's really pretty amazing the first time it happens, because it doesn't make logical sense that some part of your mind is continuing on in the dream even though you are looking around your room with eyes open. I even remember doing this in my dorm room. I'd be napping and in a lucid dream and my roommate would come back from class. I can recall opening my eyes and seeing them walking around the room, hoping they wouldn't interrupt my lucid dream. I think these types of lucids tend to occur more often at lighter levels of sleep, such as during naps or in the morning (or sleeping with the TV on), rather than during the night when you are more inclined to be entering REM from deeper sleep stages.
I actually just remembered a scene from Eternal Sunshine of the Spotless Mind that is a great example of this. When he opens his eyes during the procedure... if you've seen it maybe you know what I'm talking about.
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