I experienced something like this during a brief period in my teens when I experimented with lucid dreaming techniques. I would lie completely still on my bed in the evening, meditating until I started to drift off. First I'd feel my body go numb. Then I'd hear either a round of explosions or a roaring rush of wind. If I managed not to get too excited, I'd cross over into dream, fully cognizant of what had happened. I had one experience with sleep paralysis under similar circumstances: during one of these sessions, I was sure I had pulled myself out of the dream, but I couldn't open my eyes or move my legs. This lasted for about thirty seconds before control abruptly snapped back. I'm still not entirely sure whether this happened mid- or post-dream, but it certainly felt real in a way dreams never did for me.

All in all, it was fun to experiment with for a while. I'd done a fair bit of reading on lucid dreaming, so the loud noises and sleep paralysis were expected and not concerning. Very interesting sensory experiences, among the few you can reach without recreational chemicals.