I wanted to echo what Heather said. I have had both a closed AND open MRI. I, too, was in the hospital when I had the closed MRI and asked for sedation which made it bearable. It wasn't total sedation - just Valium, I believe, but I kept my eyes closed the whole time too and prayed!
The next time I had to have one, I opted for the open MRI which is, at least for me (and I panic easily at these things!), not at all threatening.