I found the below link when considering the dangers of lucid dreaming. If you are prone to depression or anxiety, you must really limit the amount of time you lucid dream because of the effect it has on serotonin in the brain. While in REM sleep, we burn more serotonin and thus knock the balance out of whack for a good chemically healthy brain. We become more depressed or paranoid, if we're prone to these conditions, if we lose too much serotonin through lucid dreaming.
http://www.geocities.com/alex_sumner/lucid2.htm
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