Popular media sources (and even a statement from the government) say that Fan Death is one of the top 5 most common summertime injuries. According to these, when fans operate in a closed room, they can be responsible for suffocation, asphyxiation, and even chopping up the oxygen molecules in the air, making it useless to breathe. Even with adequate ventilation in a room, they can be responsible for hypothermia and hyperthermia if blown directly on the future victim.
So, it is believed to be extremely dangerous to sleep with a fan on in a closed room. This belief has even led to the addition of a "life-saving" device included on most fans sold in Korea: a sleep timer. Just like the clock/radio you have beside your bed, you can program your fan to turn off after up to 2 hours of running. If you feel so inclined, there is a wealth of information about this topic on the net just waiting to be read. Give it a look, and decide for yourself.
As for now, we will continue to live on the edge and sleep with our fan on. Full blast.
Here is one of the many warning messages inside the operator's manual supplied with the fan.
And thank God for this thing. The knob on the left is the life-saving sleep timer. Up to two whole hours of non-threatening breezy bliss.
-Us