This has never happened to me for more than an instant -- occasionally, something really embarrassing or really lucky will happen, which makes me think "this is the sort of thing that happens in dreams," so I do a reality check and that's the end of that.

I'm asking, however, because I had a lucid dream today that involved about 6 false-awakenings in my real bedroom in rapid succession, and though the nose-plug RC kept failing, I remember thinking to myself "I want to open the window and fly, but I'm sufficiently confused, and the consequences of making this mistake are sufficiently dire (i.e. death) that I need to do some different RCs first." I did so, and accepted it as a dream.

If you asked someone for reasons why LDing might be bad, this would probably be near the top of the list. But has this ever happened to you in your waking life?