A mare.
Its where the word nightmare comes from, the mare being an evil spirit that sits on a sleepers chest causing paralysis. The true cause is the dive reflex, a natural mechanism that freezes the body during REM sleep so we don't act out our dreams. If your sleep is interrupted for instance by a draft, you can experience the sensation of being conscious but unable to move.

EDIT: the mare is usually depicted as a long haired woman or troll like demon, en.wikipedia.org/wiki/Sleep_paralysis
( willenium Fist bump for verification, Mon 27 Jul 2009, 20:26, Reply)