I've experienced sleep paralysis many times. The worst is when I end up in a bad position, and it's hard to breathe(like face down in a pillow). Then, I know I am paralyzed, but I am deeply uncomfortable and have to get up. So, I'll start kicking my leg until it finally snaps me awake enough to move.
On skepticism, I'm certainly not a believer in anything paranormal. The human brain is easy to fool. I'll give an example.
One night, I was driving my family back home down a dark Kansas county road. Very few houses, and very few lights. All of the sudden, I realized that there was this crazy, multicolor glowing globe hanging almost over the road. It looks like a mist shrouded thing just floating there. No obvious source of light, it wasn't moving and there was no downdraft as if it were a helicopter.
I was baffled, and turned to my wife. "Well, I'm going to have to rethink this whole UFO thing."
At this point, I was almost underneath it. It was over a field, and just floating there. I debated getting out and walking across the field, but I decided to keep going, in case a car came by in the dark and hit the family.
And, low and behold, over a small hill that was completely imperceptible in the dark was a cop, who had stopped another car. His lights were flashing. And everything clicked into focus. The "ball" was just a low hanging fog bank. There were no trees around to reflect the light, so I couldn't tell that the origin was closer to the ground. And, once I really looked at it, the "globe" shape sort of went away.
Moral of the story: I think most beliefs about the paranormal start with similar experiences. Our brain is prone to perceiving patterns and trying to stitch together a coherent story that we call consciousness, and sometimes it fails.
If I hadn't crested that hill when I did, the cop may have left before I got there. Would I instead be telling people about the UFO I saw? That's the part I find most interesting. How a single missing fact could have warped my entire worldview.
Anyway, just something to chew on...