This wiki's for you.
And this one.
I experience hypnagogic hallucinations a lot, mostly when I've had a stressful day. Usually it is much like you described, hearing footsteps and breathing. Your case is interesting in that you could break out of it -- I never can, and I've learned that fear is a rather useless tool when you can't act on the motivation it brings; so I've stopped feeling fear during those times.
And this one.
I experience hypnagogic hallucinations a lot, mostly when I've had a stressful day. Usually it is much like you described, hearing footsteps and breathing. Your case is interesting in that you could break out of it -- I never can, and I've learned that fear is a rather useless tool when you can't act on the motivation it brings; so I've stopped feeling fear during those times.