As far as we know, it's a hallucination based off of the dream you were having before you woke up. After all, we are always dreaming, we just don't remember it all (some people, like me, almost never remember their dreams). 

I might have had sleep paralysis, but it was a really long time ago. When I was two (or maybe younger), I got [i]insanely[/i] sick. The flu, strep throat, and a third one I don't remember. My temp was consistently juuust low enough for me to not need to be rushed to the ER, but we needed to use two medicines to keep it there (I still need two different medicines to treat my fevers, for some reason). It's the only thing I really remember from that time, but there was this recurring hallucination I kept having, and I never moved or talked during it. I was just there, lying horrified. It could have easily been sleep paralysis, since (being a sick two year old) I slept quite a bit, and fever dreams like to repeat. I've never actually thought of it this way, but yeah, I guess that could have been it.

I've never thought that much about the paranormal (aside from the one time in 8th grade), but I'd never discount the possibility. My general policy on the paranormal, spirituality, religion, etc. is "I dunno, you decide". So... I guess that's my answer here.

As for the topic of this... uh... topic, I had this one dream way back when I was five or something. I walked into this empty white room with a bunch of doors, but every door just led to a bathroom or closet. After a few minutes of frantically trying to get out and panicking the whole time, I walked right into the middle of the room and happily said "I know how to get out of here!" Then I woke up.

Looking back, that's always funny.