All three of those are types of lucid dreams. Any dream where you know you are dreaming is considered a lucid dream. Generally, people aim for the first type you described. Those dreams tend to be the most satisfying. I really like the second type. I find you can come up with some really epic stories when you remain a little detatched from the dream.

The third type of dream you described, could be sleep paralysis. Like yuri mentioned, you can have all kinds of wacky hallucinations as you are going into or out of sleep. Common symptoms of sleep paralysis are the inability to move (obviously), the feeling of a threatening presence in the room, and a weight on your chest. It is cool that you have already realized this is a great opportunity to score some awesome dreams. Just relax through it, take a deep breath, and you could launch directly into a WILD (Wake Initiated Lucid Dream). Don't try to shake yourself awake. Instead, relax, visualize a dreamscape you would like to enter, and think happy, positive thoughts.