For some reason, today I remembered something that happened to me as a child. I don't remember exactly when this happened, but I'm sure I was still in elementary school.
One night I had this really scary nightmare that made me wake up covered in sweat and with my heart beating furiously against my ribs. In that first moment of half-consciousness, when you're still paralized by fear and you start to be aware of the sheets you're wraped up in, I could hear in my head the loud whistle of a train that announces its departure from a station. And in my childlike mind, still a bit foggy from sleep, it made perfect sense that it would be the Train of Dreams, that delivered a nightmare in my bed and after finishing its mission it went to another bedroom to give other dreams to other people. And I kept thinking it even after I was fully awake.
Even now, about 10 years later, although I don't believe it anymore, I still like this little “theory” of mine.
"There is a drowsy state, between sleeping and waking; when you dream more in five minutes with your eyes half open, and yourself half conscious of everything that is passing around you, than you would in five nights with your eyes fast closed and your senses wrapt in perfect unconsiousness." - Charles Dickens
P.S. The picture is "Untitled - Design for the ball in the dream", a work of Salvador Dalí for the film "Spellbound", directed by Alfred Hitchcock.