Actually...
I just realized that something like this has happened to me as I was typing this.

At the point in the dream where it happened, me and my friend were trying to hack into some arcade machines in a grocery store. Yes, I do completely retarded crap in my regular dreams. And suddenly, an alarm goes off, but, instead of waking me up my brain worked it into the dream as the store alarm going off, leading toward me having to avoid security. After all that happened, I was waaay away from the store and back home but the alarm kept going off and a relative explained it as god punishing me for something. Then my dad woke me up and told me to turn off my damn alarm.