I've had this experience as well; they seem to epitomize Randi's unsinkable rubber ducks in this regard.
These memories seem to be some sort of touchstone and I am quite certain in at least one instance that the memory is a classic case of hynagogia, though the person staunchly refuses to consider it.
I've had that experience, too, and wrote about it for the JREF Newsletter at some point if anyone wants to go digging. Essentially, though:
I was about seventeen, and came home from school very VERY tired for no apparent reason. I went up to my room and laid in bed and tried to fall asleep. I kept looking at the clock wondering why I couldn't just FALL ASLEEP for goshsakes.
I pulled the blanket up above me and let it float down over my body and then, because I was looking up, realized that there was a man sitting on my ceiling as though it was the floor. He was holding a staff in his hand, and from it dangled a single feather. I couldn't make out his features very well - sort of like he was made out of shadows.
Terrified, I pulled the blanket up over my head and refused to look. Minutes passed. I finally peeked out, and the man was gone. WHEW. Except then I heard a "thunk" from under the bed, and looked over the edge just in time to see a foot and the end of a staff being pulled under.
I bolted from the bed and ran down the hall.
Very compelling. I did not remember going to sleep; I did not remember waking up. I had been looking at the clock the entire time and only fifteen minutes had passed between the last time I'd looked and right then.
It was just as real as any real life experience.
I went off to college and one day returned from classes feeling super sleepy for no apparent reason. I laid in bed and was unable to fall asleep. I looked over at my roommate's side of the room and all her stuff was in boxes as she was moving back home. A knock came on the door, and I opened it, and a man was there who walked in like he owned the place and picked up my clock, which I had been periodically staring at while trying to fall asleep. When he picked it up, the hands began to move backward. He laughed at my surprise, and walked back out.
I shut the door and threw myself on the bed, terrified. I sat up, and realized -
Though my roommate was in fact moving back home, she hadn't begun to pack yet. So why was all her stuff in boxes? I looked over, and it wasn't.
This, too, felt just like reality. I had no memory of falling asleep or waking up. The ONLY reason I know that both the original story and the later one are not real, true memories is because of that one thing being out of place.
This is how unreliable the human mind is.