A couple times, when it was literally freezing cold outside, I'd get completely under the blanket, head and all, and end up falling asleep.
Then later on, I'd just barely wake up, unable to move though, basically because of lack of oxygen under the blanket. I'd have to lay there and muster up every last bit of energy I had just to toss the blanket off of me to get a breath of fresh air.
So yeah, sleep paralysis with a bonus risk of suffocating to death is extra scary.