Is it normal to wake up from shock in a dream?

Perfectly normal; what you are experiencing is Hypnagogic Myoclonus. As I understand it, during the transition between being awake and asleep, our respiration rate falls because our bodies' demand for energy is significantly lower than when we are active. This decrease in respitory activity, however, is sometimes red-flagged by our brain, as it is potenital warning sign of respitory distress. In order to try to stimulate, or essentially "kick-start", the respitory processes in the cells of our bodies again, the brain triggers production of a small electrical impulse which, when carried through the body by the central nervous system, effects motor neurones in our muscles, making them contract. This is what causes the seemingly random body spasms, or even mental phenomena, we may experience as we are falling asleep.

I've had lucid dreams before, when I was little. But now I can wake myself up if my dream gets too scary. It's kinda like this: I'm being chased by a monster. (which I'm not really afraid of when I'm awake. In fact I love horror movies. Anyhow...) I'll suddenly realize that monsters aren't real and will myself to wake up. It usually works.

When my brain is shutting off sometimes all these subconscious scenarios, people, places, things and words pop into my head and I am still half awake. You probably had something in your subconscious trigger your thoughts of the “horror figure” that jumps out at you and makes you awaken. I watched a horror movie once and the figure in the movie like you described “jumped out” at me from nowhere, it was weird but luckily it subsided within a week or so. When I no longer cared about this particular figure that was bothering me, and didn’t feel scared about it anymore it went away from my thoughts. I guess the point I’m trying to say is to conquer your fear, make it fear you. At least you weren’t in a dream of a dream. This has happened to me before, when I think that I woke up, but in actuality I am still in a dream.

Well, I have tried this many times before. And I have also noticed that I dream much more when I'm only half-asleep. My theory is that while still being half-conscious we sort of notice the many thousand thoughts/"senses" which run through our head during only few seconds. We have no control over these thoughts and therefore, horrors suddenly appear.
I don't think your subcounscious wants to scare you on purpose, but your fear has a place in your brain, and this place becomes visible when you notice your thoughts(by being half-awake) but don't control them (by being half-asleep)

I have the same thing going on! I'll just be half asleep and I see this figure just standing there and I realize it shouldn't be there. And I "wake up". It's so creepy and very hard to describe.... But you described it perfectly. When I told my mom this she told me I have schizphrenia, lol. I know it's not that though.

I've woken up in a cold sweat many times but that was from the falling dream thing.

Don't hit the bottom.