#1 doesn't really apply, because when I become lucid during a nightmare, I'm a pretty kickass ninja inside my own head. Some sort of defense mechanism, I guess, being "scared awake" and then kicking the boogeyman's butt six ways to Sunday. And no, they never have faces - Not like it's blank or a hole or missing, or anything concrete like that, it's just a detail that's completely absent, as if I just don't even bother looking at it for some reason.

#2 is more beautifully-sad than horny, but for a similar reason (I don't really have "horny" dreams for some reason). Imagine your idealized love interest incarnate, and spending a moment/eternity in that bliss. Now... Wake up! I still occasionally miss her 20+ years later, sometimes even catching myself trying to remember where and when that happened as though it were real.

#3 was a nested lucid dream. I know the idea of waking up from a dream into another dream is a cheesy trope, and you can probably even remember one or two normal dreams like that... But it's entirely different when you're lucid; and to top it off, the reality I clearly remembered as the "real world" while in the inner-dream wasn't this reality - I was entirely lucid, but "I" wasn't the one dreaming. As an aside, it's kind of funny I just responded to another post vaguely on that topic; I suppose thinking about the answer to that somewhat primed my memory for this response (this is a serious answer though, I promise I'm not ripping off Star Trek).

#4. If you've ever read Lovecraft's Dream-Quest of Unknown Kadath, that's about the best I can offer to describe it. It was... Cyclopean... Awesome in the literal sense of that word... Just a hint of abstract terror in the background to sharpen my perceptions. This one could also probably qualify for #1 and #3, to some degree.

/ Before you ask, I can't do it at will, and I only have a few per year.