Thanks for the kind reactions and honest replies everyone. To be honest with you I think I'm much closer to Astral Projection than I am to lucid dreaming (I got a basic understanding of Astral Projection, where with lucid dreaming I don't really understand how it's supposed to go or what it's like.) I think I jumped out of my state because I've been taught that if you ever become afraid in a altered state that you should get out of it and return. I really need to read more and continue to work on this.

Will the fear go away with experience or is it something I should try to fight through?

It's trippy though. I love these altered states. Even in a bad experience like I previously mentioned, when I come back I feel extremely relaxed and refreshed. For instance last night during a meditation session trying to attain either a lucid dream or a OBE, I came down and cleaned my apartment which I had been putting off for a long time. I also have trouble with social anxiety but I find myself much calmer and able to deal while messing around with these states. I really think I'm on to something with all of this.

Thanks for your thoughts.