You're suffering from Sleep Paralysis.
Your body's trying to fall asleep, and before it enters REM sleep, your mind isn't quite ready for sleep.
As you try and fall asleep, there is a point before REM sleep at which your brain turns off the motor functions of your body (so that you don't start running if you're dreaming of running). Sometimes if you're a light sleeper or if you have trouble sleeping, your brain will turn off your motor functions but will not turn off your senses completely, which gives you that "I'm awake, but I'm FUCKING PARALYZED!" feeling. That feeling, in turn, causes you to panic because you cannot move, and it feels as if you are bound.
Depending on how imaginative you are, and how awake/asleep you are, your brain may come up with some nifty hallucinations. You may feel your covers moving (feeling isn't completely gone on your body), you may feel dread and may have the fear of opening your eyes (your brain has paralyzed you so you cannot open your eyes, so you 'think' there's someone in the room), and sometimes, if you sleep on your stomach, it may feel as if something heavy is 'pushing' you down into the bed and preventing you from moving.
There's a plausable scientific reason for all of this, and it happens to most people, so do not worry.
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