I've only had sleep paralysis a couple times and I agree that it is AWFUL. I felt like someone was standing in the room with me and was (irrationally) terrified.

I lucid dream far more often, probably once a week. I agree that it's nowhere near as frightening but I find it to be unpleasant as well. It's not very fun to stay dreaming when I know I'm awake.

It's funny but the movie Inception really helped me with my lucid dreams. Falling (in my dreams) will wake me up. I double-check that I'm actually dreaming by flying first (aw yeah, I can fly in my dreams - kind of like swimming in the air). So I'll often wake up by flying high into the sky and then falling to the ground.