Carl Jung to the rescue!
the "something" is your inner self. or, if you're afraid of it, it might be your shadow, which is just the aspects of your inner self that you deny or repress.
but if you're getting the feeling that it's with you even when you're awake, and you are in distress because of of this, i urge you to see a psychologist immediately. judging by your incoherant post and your description of what is happening, there is a possibility of schizophrenia. your psychologist can determine if that's what's really going on or not, help you, and can also refer you to get any necessary anti-psychotic meds. don't be embarassed about it. if anything, your psychologist will be fascinated to hear your story.
and if you're pulling our legs, get stuffed.