Oh, I forgot to mention the hypnogogic, and hypnopompic semi-dreaming states. These medically recognized states occur 'in between' just falling asleep, and just awakening.
Its often then that the 'conscious' is startled by weird dreaming.
Not realizing this, many people are concerned why they're even having such 'crazy' thoughts.
But its just dreaming, not thinking.
Its natural.