Did you try creating a bed and going to sleep in the dream? According to Stephen LaBerge's 'Exploring the World of Lucid Dreaming,' this can often times do the opposite of going to sleep in reality. It will make you wake up.
Scaring yourself out of the dream isn't going to do much good usually. Most of the time, you just scare yourself.
If the thought "I wonder if I'm dead" comes to you in the dream, then you've got a horrible theory at best. Use logic. You don't know what being dead feels like, but you DO know what dreams feel like.
One thing that it could simply have been is that your body needed to finish off its REM period, and you just happened to be conscious during the vividness of the period itself. Though this does not happen often, or possibly even at all, I think it could have been possible.
If you find that it's lasting longer than you wish, try to find some way to pass the time. Have some attractive women morph behind you and go "hang out" with them. Or, activate more material. Let yourself fall out of lucidity, and let the dream become spontaneous again, or revisit a past memory that you believe you have forgotten consciously.
-youngprer
