I had a dream once, where when I beacme lucid, I said "This is a good dream" Out loud. In response, a voice in my head said "What?...Dream?..." I said out loud "It's a dream, watch.." I did the nose plug reality check. Then the voice said "Ah, sorry, I didn't realise, go back to what you were doing" Then I suddenly realised I was talking to myself and woke up.

That was quite weird.