Your friend that thought something was holding her down when she woke up was probably experiencing a condition called sleep paralysis. You can check it out on wikipedia. It's caused by the fact that your body is basically paralyzed during deep sleep, and sometimes you can wake up before your body becomes unparalyzed.
I've had it happen to me before, and it was very very scary. I didn't jump to the conclusion that it was a ghost, but it was scary nonetheless.