I have a conjecture about why many people think it’s correct to say lay in bed: the nursery rhyme beginning with Now I lay me down to sleep… In that rhyme, though, lay has an object: me. Without an object for the verb, lay would be wrong. (You lie in bed, but you lay yourself down.)
Anyway, the verb in the very beginning of this example is incorrect.
Also, the first sentence is compound. (You know what that means, right? Yep, you guessed it: it needs a comma before the conjunction.)
Other changes were made to fix clunkiness. For example, a lot of writing advice says to avoid the word that like it’s some kind of horrible disease. (Feel free to imagine me rolling my eyes at overzealous and uninformed writing advice.) Changing that says to saying eliminates the problem word. I deleted to see what it is, because why else would you turn on a light in a dark room, if not to see?
You are lying in bed in the dark, and you glance over and see an odd shadow in the corner of your room. You’re about to turn on a light when you hear a voice in your head saying, “Don’t move. They’re watching you.”