There are multiple cultures who have observed and lived and still practice being in these states as they are a key to the full unification and understanding of the plane of existence we are mostly living in and with. (See the first comment I just left for leaky20. There are much more.) The sleep paralysis is a natural part of the process of becoming fully aware, thus a bit of a side-effect of learning to lucid dream, as one thing, but also a side effect of meditation, when one gets to a certain depth...
Namaste :)
Yeah, this is true and Leaky20's post supports that too.