I recall recently "waking up" to a burglar going through my closet, and I being unable to move anything but my eyelids. I started to get a little excited, but then I considered "How likely is it that a burglar silently defeated my deadbolt AND I spontaneously became paralyzed?"

Similarly enough, a few years back I was "woken up" in the same manner to the sound of breaking glass outside of my window. In the half awake state, I worked through the probability that someone was actually breaking into my car outside of my window and decided that if indeed this was the case and I wasn't just dreaming I would hear further evidence (door closing, car starting etc...) and then take action. I did not and so I went back to sleep.

My prior probability was low that my car would get broken into. The evidence should have updated it, however I erred on the side of the prior and came to the conclusion that I was just dreaming.

Wrong. Sure enough the next morning my car had a broken window and my CD player and CD's were gone (Car thieves like Tchaikovsky and Art of Noise apparently). I am a much lighter sleeper now.