Grunkie, for me it is worse than not knowing it's just a nightmare, because the paralysis and inability to wake up are scarier than any nightmare I've had!

Ninja, I've only been able to change the dream successfully one time. I was being chased, and first I tried the usual things, like moving a toe, or screaming in my sleep to wake my husband so he can wake me. Then, I tried something new--I jumped off a cliff! Then I woke up. That was the only time I was able to control the dream.

Closing my eyes--I have never tried that and definitely will!