It really depends on the dream for me. I remember one instance in particular that was especially difficult for me to wake up from:

It was a DILD, nothing unusual really. However, it wasn't long before the dream went rogue, taking back its power over me (though I'm still lucid at this point). I attempted to wake myself up to "reset" the dream, but upon opening my eyes I found myself in a bed that wasn't mine. A false awakening... As I lay there, an evil spirit spoke, warning me not to look at it or terrible things would happen. I knew, however, that the only way it would let me wake would be if I did. I proceeded to spend the next, what felt like, half hour to an hour struggling against a force on my chest and neck to look at this demon, but the little part of me that was still unaware wouldn't let it happen. Several times I attempted to wake myself with a technique I'd call "bursting" where I close my eyes and imagine myself thrusting my being through the wall of the dream and back into reality, but every time I did I ended up back in the same bed with the same force on my chest and the same demon whispering in my ear. When I finally worked up the strength and courage to look the demon straight in the face, I woke up.

This is my most memorable instance of being held in a dream by some unknown force (and by unknown force I don't necessarily me a presence or being, just that there is something keeping me from removing myself from the dream). Probably one of my more terrifying dreams now that I think about it. Of course, there have been times when this "thrusting" technique I mentioned earlier has worked wonderfully, but the success rate of it still seems to be around 50%.