This happens to me, but it's more commonly when I'm almost asleep or when I get half-awoken by something in the middle of the night. I'll hear someone shout my name, and if I'm sleepy and 'out of it' enough to believe it was real, I shout back.. Which confuses everyone
Like I say, it's more common when I'm falling asleep.. It's at the point now where I'll hear whole sentences - things people have said to me before - yet I hear them as perfectly as if they were standing next to me and talking. These voices become easier to control the more sleepy I get, and I find I begin to be able to create sounds.. Then, shortly after, slip into a lucid dreaming state.
I fully believe that these sounds / voices are simply a pre-cursor to dreaming, and as such also occur when you are half-woken from a dreaming state in the middle of the night.. You're still dreaming, and 'hearing' things as if they were being said / shouted in 'real life'.. But you're actually just dreaming them.
As I've posted elsewhere, I believe this state is called Hypnogogia (when it occurs as you're falling asleep / half-roused) or Hypnopompia (when it occurs as you're waking up). You can read more about it here - http://www.nowtryus.com/article:Hypnogogia
In particular, I'd draw your attention to:
Sound plays a secondary role in hypnagogia. The most common phenomena include crashing noises, oneâ€™s name being called, a doorbell ringing, references to spoken conversations, music, explosions, footsteps, and scratching.
It's nothing to worry about, really, just a slightly peculiar sleep 'thing'
. Try to make sure you get into a regular routine with your sleep, as I believe this helps.. Not that I'd know, since I find it impossible to sleep regularly haha
Hope that information has been helpful