I've had a few. Some nightmares that I eventually realize are dreams and I can just decide to wake up. Had one a few months ago where I dreamed I got in some horrible car accident and killed the other driver or something and the police had me pinned on the ground hand cuffing me when it occurred to me, "this is a dream, screw this I'm just gonna wake up!" 
Indeed, the brain is so complex it's almost frightening in ways.
Indeed, the brain is so complex it's almost frightening in ways.