That's how I've always thought of lucid dreaming, one of those 'too good to be true' things you dream about only to wake up and be disappointed it's not real, only lucid dreaming is.

Like the others said, absolutely nothing to be afraid of. When you start having more lucids you'll be wishing there was a way to get stuck in them, only temporarily, of course though.

And yes, some LDs are as realistic/vivid as waking life