Bordering creepy, it would have to be being obsessed with Tactics Ogre: The Knight of Lodis to the point that I'm dreaming about being stuck behind a tree and unable to get past it. Sleepless nights indeed.
Sad dreams would have to be most of those that involve people I so desire to forget, that being both exes, terrible father, losing those dear to me, ect. The saddest one was one I had that painfully reminded me ( and sparked an ongoing obsession for about half a month ) of an ex that I had forgotten; he basically came to my door, and we got back together, and then I woke up and was sad.