A form of hypnagogic state, also known as sleep paralysis, where you're conscious but your brain is in REM mode. I have these often, and they're rather easy for me to induce. Basically, you're conscious but dreaming; often there's a sort of a dual state of mind at the beginning where you're aware of being conscious but unable to do anything about it, and then the dream kicks in. It's usually a semi-lucid dream; you're on the verge of knowing whether it's a dream or not, and you're able to control some aspects of it, and almost always able to control when you wake up.

My hallucinations often include a very powerful orgasm at the beginning, with the convenience of having obscene amounts of the wonderful, sticky warm mess in the hallucination but none in reality (a very gratifying feeling), and then move on to something related to real life slowly mingling with fantasy.

For an example, see February 18's dream log.

For more information, see hypnagogic state.