Some people call that "lucid dreaming", when the scary part of the dream is that it feels like it might be a memory.

Medically, it's called "hypnogogic hallucination." It happens when your sleeping and waking cycles don't turn over in an orderly fashion.

In tribal cultures where they understand that linear time is a concept invented by humans to make sense of things we can't fathom, they call it "spirit walking", when you explore alternate universes in the safety of delta sleep.