I had a dream when I was about three that somehow involved the clown on the Schwebel's bags. I still get kinda creeped out when I see it. Then, when I was six or seven, I dreamed, long story short, of a ghost that sounded like what you'd hear when you picked up a phone while someone was on the internet. It may sound silly, but it was genuinely terrifying, and looking back, it sounded pretty awesome. I remember one dream that ended with an image of a pink flamingo in my head, and when I woke up, I had diarrhoea and a fever, and then I threw up. For a few years, it made me nauseous every time I thought about that flamingo...quite odd.
I've also had the typical dreams of, "YAY DAT GURL I LIEK LIEKS MEEE!", or a family member dies, and then woken up terribly depressed, and I'd stay that way for a few days.
EDIT: Not really a nightmare thing, but weird. Occasionally, I'll dream something fairly mundane, and then a few days later, the events in my dream come true. As a skeptic and an atheist, I don't believe in ESP or any of that crap, but I have no clue why this happens. My dad's tossed around the theory that the dreams are somewhat similar to the events in real life that caused me to remember said dream. The dreams are then mis-remembered as being completely similar to real life. That's as good and as logical a guess as any.
Again, not a nightmare, but it scares me. I'll have dreams that create memories of other dreams that I'm not sure I've actually had. It scares me because I can't tell, in these cases, what has and hasn't really happened.
This one's actually a nightmare. I had a dream my ninth-grade science teacher's face looked like this:
When I remembered the dream in the middle of her class, I found myself literally physically unable to look at her.