A better way to induce a
hypnagogic hallucination which you'll actually
remember is by waking up some morning then letting yourself drift off to "
sleep" again whether you actually need it or not. If you're
receptive to this, it tricks the
reticular activating system into putting your (still-
conscious) brain into a
REM state, where your
voluntary movement is
paralysed and your
consciousness is connected to whatever it is that causes
dreaming.
This is basically the opposite of sleepwalking, where your (unconscious) mind is in a REM state but the RAS hasn't paralysed your movement. Typically, those who sleepwalk don't have hypnagogic hallucinations and vice-versa. Narcoleptics tend to have a high occurrence, however.
There's a fairly good cursory look at this phenomenon at http://www.straightdope.com/mailbag/mastral.html; unfortunately, most of the other information on the WWW is filled with inanity and misinformation and is usually linked to narcolepsy information or alien abduction stories written by people who are basically scared of their own imagination. Myself, I love these hallucinagenic states (and also love not needing to endanger myself through LSD to get a neat trip - not only are there no side-effects, but since my RAS prevents me from moving, I'm not about to try to fly or anything), and I actually try to induce them whenever I can (and lately have been getting a lot of success at it).