Closing your eyes and giving up in a non-lucid nightmare, as if it was in fact a lucid.

I'll do my best to explain this.

In my nightmares, I usually end up being swallowed by a shadow, thrown down a deep hole, eaten by a large unseen creature, or just drowning in dark water. But what's really fascinated me is that when my demise is about to happen, I close my eyes and curl up into a ball, as if I know it's a dream and it will end soon. But I'm not even vaguely aware that I'm dreaming.

Could this be a learned behavior that stuck from my first nightmares, in which I was lucid and didn't know how else to react? Is it a different form of lucidity, just not the kind we're all used to? Or, is it something else?

Has something like this ever happened to you guys before, and if so, what's your opinion on it?

You just described my recurring dream experiences from my early childhood (I'm 26 now). In each of those dreams I was in some dark room (often a familiar place like my or my grandmother's flat). I sensed a presence of an evil creature at the far end of the room. I think I saw it once as a cloaked figure in black clothes, but usually I just felt it was there without actually seeing it (maybe I was too afraid to look in that direction). I always felt being pulled by that ghost, demon or whatever we call it (a feeling which can most accurately be descibed as being sucked in by a vacuum cleaner or a tornado). My natural reflex in such cases was to close my eyes. Although those dreams were never lucid I instinctively felt that if I didn't resist I would soon wake up. What I find most interesting in your description is your feeling of getting curled up into a ball when the "pulling part" begins-I couldn't describe it any better. I remember those dreams as very disturbing, I think I haven't had them since I was 10-12 or so.

What would you do if you were actually experiencing that in the physical plane? Would you just look at it and await your death, or would you try to shut your eyes and protect yourself? You would try to get rid as much of the negative experience as possible by not looking at something that may scare you and get into a position that would protect your body! It's a natural reaction that apparently works in your dreams as well.