There's an explanation here:
http://www.nomorepanic.co.uk/showthread.php?t=169799
They call it 'hypnogogic'. Once or twice when waking I thought I heard someone say my name but I never knew till now I was having a hypnogogic hallucination.
Edit: I've also noticed something else recently - I'm on Paroxetine which affects how I sleep and occasionally I notice my dream starts just before I fall sleep! It doesn't worry me though.
Another Edit: I just read Gerrard's post about fear of schizophrenia where he says he thinks it's fear of losing control, and you used the similar phrase 'completely out of control' describing your feelings of panic. I wonder if there's some kind of connection there?