If your dream is so scary, the only way out you know is waking up… but how do you do that? Have you developed special ways to wake up, specially when you are lucid and the dream is too scary to handle?
Well, I can’t say I ever deliberately wake up from scary dreams, but I HAVE trained myself to wake up when my dreams get to the stage where I start searching for toilets everywhere. From experience, I know that this only happens to me when my body needs to go in real life, and over time I’ve managed to recognise that I need to wake up, or the dream will just go on and on and on about looking for toilets, which is so frustrating and boring.
It’s nothing I do consciously, but gradually I learnt to “just get up” - that’s how I think of it in dreams, since I don’t think that I’m dreaming. But when I’m in a dream, I can usually tell the difference between searching for a toilet and “just getting up”. The hard part for me is getting to that realisation, and once I’ve made the decision to “get up”, the rest follows on easily. It’s very difficult to explain, but I literally… just get up. It’s something I do instinctively now, but I can’t do it unless I recognise I have a reason to. I don’t know if that helps you with scary dreams, but I imagine it would be similar. Instead of frustration for searching for things, the trigger in your case would be fear.
Honestly I just tell myself to wake up and I do. That is if its a lucid dream. If its not a lucid dream, then I’ve never thought about it before. Interesting thought.
You can close your eyes really shut, then wait for a sec and open them. If you’re still in the dreamworld, you try that again, only this time, you try to open your eyes as open as you can, and keep seding it “open” signals.
You can also kill yourself, but I don’t like to do that at all.
Alternatively, you can lie in the floor in sleeping or fetal position, close your eyes and try to, with your eyes shut, feel your body until you actually feel your real self in bed and BAM! you’re awake.
This is part of why I think I am always in a extremely low-level lucid dream. Whenever something really bad happens I just wake up, it’s like in the back of my mind I tell myself to open my eyes and that’s that. I open my eyes and I’m awake.
In LD’s I don’t think I’ve ever woke myself up intentionally. I did once by accident, I closed my eyes in the dream and when I opened them I opened my eyes IRL.
I used to wake myself up in nightmares by shutting my eyes really tight and eventually I wake up.
Hasn’t this question been asked already? I mean, c’mon - don’t you people know how to use the search… 
…But seriously, I open my eyes as wide as they go and that causes me to awaken - sometimes it’s a false awakening. But I try to be careful about that nowadays… Once I came out of a nightmare, got up and opened my bedroom door, only to have a big dog-monster jump out and knock me to the floor (much worse when you’re fully conscious and really believe yourself to be awake).
I used to do this when I had a nightmare but since I’ve become better at LD’ing I easily identify the situation as a dreamsign(try it, nightmares are the easiest DS IMO).
But if you are trying to wake yourself up then I have to agree with Wyvern, just close your eyes as tight as possible(in the dream) and you should feel your “real” eyes clenching, then just open them. This method has never failed me and like an earlier post mentioned, it has it’s uses regarding the call of nature…Good luck. 
Well, for it’s all a matter of expectation and belief. If you expects that shuting you eyes will wake you up tha it will. If you really believe that seeing a winged dog with bear claws will wake you up, then it will 
The point is, you just have to “train” your SC to believe that you’ll wake up whenever you want to, shuting you eyes or not(but using something alse then your own will, like shuting your eyes, can help “convince” your mind)
A good (and proven) way to go about it is to fixate your eyes on one single point and just stare at it for a while. The scenery will start to fade and you’ll slip out of the dream and wake up…
“Why?” We’re all familiar with REM sleep, right? Meaning, Rapid Eye Movement. That’s the most active stage of sleep, that’s where we dream those vivid dreams (including LDs). So, the eyes (underneath your closed eyelids) move from the left to the right swiftly all the time - you can tell whether a person’s really asleep and dreaming (or faking it) by the movement of his/her eyes. It’s an interesting phenomenon…
Well, according to Paul Tholey (one of the early researchers in lucid dreaming - prior to LaBerge), if you, in the dream, fixate your (dream) eyes on some point and just stare at it, keep them fixated on that point, the dream scenery will start to fade and you’ll slip out of the dream and wake up.
“How come?” I can’t quote the exact wording, but the gist of it is that your constant eye movement (real body) and your fixated stare (in the dream) seem to be in conflict with each other, and the REM phase is interrupted.
You can try it yourself and let me know how it works. This is how I (inadvertently) woke up from a LD once.
[Information taken from Paul Tholey’s book “Schoepferisch Traeumen” (translates Dreaming Creatively). Tholey was German, and the book, to my knowledge, has, unfortunately, not been translated into English. But if you speak German you can avail yourself of this wonderful book - I highly recommend it]
Hope this helps.
Ephialtes
The way I used to wake myself up when I was younger was to jump from a high cliff, and the hard landing would wake me up alright. The impact was awesome! The whole bed just goes “THUD”! 
This has only happened to me on one occasion, and it was several years ago. Although I can’t remember my exact age at the time, my estimate is areound six or seven. 
During my dream, I was trapped in a very strange house, filled with equally strange DCs who would not cooperate with me. I searched for a way out, but somehow, at the very end of the dream, I had become lucid for the first time in my life. My idea for waking up was to open my eyes as wide as I possibly could, and eventually, the world areound me slowly became blurry, and my eyes had opened in real life.
What’s interesting about this dream is that it is one of the few dreams that had repeated itself. In my next dream (or previous, I don’t remember) I had walked into a room that looked much like my parent’s room. I walked towards the window, then slowly “dived” out. I could see the glass break and the porch below me, but just after a moment, the world had frozen as soon as I began to fall. The next thing I knew, I was awake. I also didn’t become lucid during this dream.
from my earliest dreams i could wake intenting .like making myself angry or excited so, or i wake up, or dream changes.feeling
i evoke comes from belly,like fear wave.i can do it in real life.i found out measuring my pulse that it is increasing when i do that.it is like intentional excitement,more phisical ,does not envolve mind sugestions.