I usually have those dreams. They are awesome :D
I had one were I was in my room (in my old house), my dad was in his room and my other folks were outside somewhere, and I looked out of my window and found that the sky was an odd dark purple/red colour. I then noticed that there were people in ragged clothing limping around on the roads and pavements outside my house. Then, they all suddenly turned around to face me. I all but shat a brick, if it weren't for the oblivious knowledge that my dad had various tools in his room, for some reason. I told my dad about the matter and he handed over a blue crowbar to me. So, wielding the crowbar, I waited at the top of the stairs. There's this little window by the staircase of my old house, and through it I could see the zombie-like people stalking closer to the door. Then, after about a few minutes, the door crashed down the hallway with a F.E.A.R slow-mo effect with the zombies flooding the ground floor, with some of them charging up the stairs. And, like in all of my Lucid Dreams, my loving alarm goes off. I hate it when that happens at the epic moments of my dreams.
Also, I have died in a dream. It does indeed feel odd.