Other than that the experience of those brainwave states is no different. Once we achieve a particular brainwave state using entrainment there is one significant difference to the experience and that is that we are usually still at a high level of consciousness. We’re not (hopefully) zoned out as we are when daydreaming or unconscious as we are when we’re sleeping. We maintain awareness and therefore we get to consciously experience what those brainwave states feel like in some detail.
Theta brainwaves are next highest in frequency above delta and are especially important for many people using brainwave entrainment and meditation because theta waves are at a threshold, forming a link between wakefulness and the subconscious mind. Theta waves bridge between our awake self and the creative and insightful understandings from below our conscious awareness, and while they are not common in awake adults, they are normative for children under 13 years old. 
Brainwave Entrainment is an assisted form of meditation using pulses of sound. Entrainment is a process of synchronizing two different beats to become harmonious. Brainwave entrainment works by pulsing a different sound in each ear to stimulate the brain into altered states of consciousness. Examples including Binaural Beats and Isochronic Tones, which are best experienced with headphones to assist with relaxation, deep sleep and focus.
Monaural beats have similarities to binaural beats, but the two separate frequencies are delivered through a pulse pattern and mixed before they reach the listeners ears, resulting in the advantage of being audible without stereo headphones. However, using stereo headphones intensifies the effectiveness of monaural beats and is recommended for the best effect. 
Many people experienced in using alpha brainwave entrainment report that the state of mind associated with alpha waves is a time when they feel most consciously connected to their subconscious mind. The intense experience of hypnagogic sleep, reported by some people as a feeling of being awake and asleep at the same time, is also associated with alpha brainwaves.
Brainwave entrainment also happens with the use of pulsating light, and visual and auditory stimuli are sometimes combined for additional effect and visual stimuli is used alone. Using brainwave entrainment techniques is safe for almost everyone, the exception being pregnant women and people who have seizure disorders who should check with their physician before using these methods.
Women worry more than men do. A study of 166 married couples who kept stress diaries for six weeks found that women feel stress more frequently than men because women tend to worry in a more global way. Whereas a man might fret about something actual and specific—such as the fact that he's just been passed over for a promotion—a woman will tend to worry abstractly about her job, her weight, plus the well-being of every member of her extended family. Keep your anxiety focused on real, immediate issues, and tune out imagined ones or those over which you have zero control, and you'll automatically reduce stress overload.

Your brain cells reset their sodium & potassium ratios when the brain is in Theta state. The sodium & potassium levels are involved in osmosis which is the chemical process that transports chemicals into and out of your brain cells. After an extended period in the Beta state the ratio between potassium and sodium is out of balance. This the main cause of what is known as "mental fatigue". A brief period in Theta (about 5 - 15min) can restore the ratio to normal resulting in mental refreshment.  


You don't have to buy one, though. It's not too hard to make your own binaural beat, and free software is widely available to do just that. The one that I used to make that little sample is an open-source program called Gnaural, available on the Sourceforge website. It's pretty easy to use, though it takes some practice before you can generate some of the really cool, more professional sounding beats. A binaural beat consists of two simple tones, and most people add that background pink noise. Nothing special.
Although there is a general stress response pattern, there can be variations in the response according to the characteristics of the stressor (10). Individuals tend to respond differently based on the familiarity of the stressor. For example, the perceived level of stress and physiological response when giving a presentation to a group of work colleagues will likely be less than when presenting to an unfamiliar group. The stress response also varies depending on the level of perceived control one has over the stressor (10). If there is a way for one to actively cope with the stressor that is reasonable, then the individual usually perceives more control over the situation. Consider an individual who has to take a certification examination for work and has 6 months to prepare. He can adjust his schedule to accommodate study time. However, waiting for medical test results that show whether one has a serious illness does not allow a sense of control over the stressor, and the individual passively endures the stressor or may try to avoid the stressor. With this uncontrollable type of stressor, there is a more negative reaction with greater productions of cortisol, which can have damaging health effects because of the suppression of immune function (10).
Pure tones played together interfere with each other when they are close in pitch but not identical. When each tone is sent to a different ear, there will not be any physical interaction between the waves, yet your brain still creates an interference inside your head: the so-called binaural beat. In order to create a binaural beat, each ear must receive its dedicated signal. Therefore, binaural beats only work through headphones.
The functional role of neural oscillations is still not fully understood;[6] however they have been shown to correlate with emotional responses, motor control, and a number of cognitive functions including information transfer, perception, and memory.[7][8][9] Specifically, neural oscillations, in particular theta activity, are extensively linked to memory function, and coupling between theta and gamma activity is considered to be vital for memory functions, including episodic memory.[10][11][12]
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