This phenomenon is called sleep paralysis; many people experience it. It is when your brain wakes up but doesn't immediately notify the body to do the same. Because the mind and the body are in conflicting states, very often you may experience hallucinations (which explains why you think that someone is on your bed)
As I said, many normal, healthy people experience it. But, in some cases, it can be a symptom of a sleep disorder, irregular sleep patterns, stress or migraine. If it really bothers you or becomes a serious panic disorder, see a physician.
And, if anyone tries to tell you that you're having some kind of supernatural experience, I hope you won't take them too seriously.
