That was a false awakening, or FA.
They are very common, moreso when practicing lucid dreaming, I've found out.

The reality check thing is unusual for some, but not when you really look at reality checks for what they are. When many people flip on a lightswitch in their dreams, the reason I think its such a good reality check is because your mind has to go from a dark environment to a light environment, and has to map out everything around you thats going to appear in that instant. I have a feeling thats what makes it such a reliable test, and why so many people can never turn on a switch....
HOWEVER, when it comes right down to it, a reality check is still wardened by your own mind. If you do a reality check, such as turning on a light, or jumping off a bridge to see if you can fly, you're relying on your mind to give you the answer. This works both ways. On one hand, your mind can be willing to fail the reality test, and make you unable to turn on the light, revealing that you're dreaming, OR, for a number of reasons, your subconscious could already have constructed your "This may not work" instinct, given to you by your mental bond with reality, and the light may come on just like any other light switch. The trick to doing reality tests is not to wonder if they are going to work or not, its to know that "If this is my dream, this light will NOT come on," without question.