From the New Scientist, 14 Mar 09: "On four or five occasions over the past 20-odd years I have woken myself up [by] laughing. In a brief moment of dual consciousness, it appeared that my dreaming self continued to laugh whike the more conscious self tried to locate the source of the noise" (Chloe Barber).
Flying dreams, yes. Recurring dreams, yes (mine seem to have a strong theme related to my house/home, although different houses each time). Even lucid dreams. But waking yourself by laughing? As the writer herself says, "If there are people for whom this is a common occurrence, they might make interesting subjects for study".