soemtimes that happens in alucid dream, you wake up when you realise you are dreaming, particularly if you are new to it...i remember when i first started, it could get very annoying...
i seem to have got better though...my last lucid happened through a nightmare, and i remember concentrating on the dreamscape, but in the end, i was so terrified i decided the best thing to do would be to get the hell out of there!
That's happened once before, that i can recall...
I was climbing a ladder, going to give my brother a piece of paper with instructions on it, and i became convinced there was a terrorist at the top, with a gun. So i woke up!
And by the way, welcome to the board!