The ones I hate are when the shadow like demon figure starts whispering trying to possess you. I've had them all. I used to get them often. They come back in waves for me. The recurring ones in one night where you wake up from it but you're so tired you fall right back into it again. And the ones where you think you woke up from it but your still in the nightmare untill you realize it again and really wake up from it.
I've gotten crafty over the years with my dreams tho. I've been able to have lucid dreams (able to realize I'm in a dream) about 30% of the time. Once I realize im in a dream I gain control and do whatever I want and try to stay in it. Flying is always a must. Pretty much whatever I think of appears or happens.
But with sleep paralysis, when that "demon" appears I usually sense I'm dreaming but I'm still never able to turn the dream around. I can only quickly try to jump out of the paralysis. The harder I fight, the quicker I wake up.
With lucid nightmares, when I realize I'm in a nightmare it becomes a game of trying to escape. I do things like fly and create explosions to fight off the nightmare and try to turn it around which rarely happens. Even when I can manage that and the nightmare becomes a normal dream, the nightmare eventually comes back and at that point I just try to wake myself up.