After reading this entire topic, I feel a bit more normal - I'm the only person I know of who knows that they are, in fact, dreaming, anytime I dream. I never have any control over my "character" though. Just three parallel thought processes - my dream self's thought process, my dream self's memories/intuition (always incredibly complex/detailed), and my nearly-consious "standard" thought process. As a reference, when I'm fully awake I always have 2-5 thought processes running at once.
I typically dream in over-the-shoulder third person, or (less commonly) a completely detached third person view. When that happens I'm usually able to switch back to over the shoulder third person at will, but I normally end up drifting back to detached third person.
I rarely remember my dreams, but when I do they're normally fucked up. One of my most haunting dreams was from when I was about 13. I dreamed that, with my long & sharp fingernails, I ripped out my own heart. I watched myself bleed out, felt myself getting weak. I didn't die though, was just incredibly weak. I hid the heart behind my mom's China Hutch, and went off to find the bicycle pump - I knew I needed to keep my blood circulating somehow. Before I could find it I woke up.
The freakish part? It wasn't a nightmare. All I felt was morbid fascination, a little physical pain, and a sense of purpose.
I wrote up sweating and feeling shaken, but not scared.