I'm guessing the answer is yes... We all do
I used to have horrible dreams of stuff you would expect to see in a Saw movie. Truly terrifying stuff in my sleep.
Years ago my uncle told me he could wake himself up from bad dreams. I asked him how he did it. He said it was hard to explain but the first step was to become conscious that you were dreaming. To be seeing and hearing what is going on but to know you were in bed asleep.
I know it sounds odd but trust me it's possible. Then you had to think very hard about something completely random. I always use the same thought, cake at a picnic, you can choose what ever you want but try to use the same thing everytime.
This will wake you up, normally with a jump. It took about a year to master this, but I'm so glad I did it.
Also sometimes now, very rarely I can control what happens in my dreams, which is very fun... But we won't go into that, it's private :D
Give it a go, every night when you go to sleep try to remember that you are asleep when you start dreaming.
Now I sound mad, someone bring me a strait jacket