You wake up...rarely you sleep through it and continue the dream. A dream book I have states that its an outer body experience and its "yourself" falling back to your sleeping body. I just think its a freaking dream...but still interesting.
Nothing will happen. It's like thinking about dying, if you imagine you die, you don't die in real life. Just like in dreams. If you imagine you die in your dreams, you don't die in real life. This idea came from the fact that when you die, you can be doing anything. Driving, working, watching tv, and sometimes even sleeping.