Ahh I love grim topics...sometimes.
I rarely get nightmares. I've had a few mild nightmares (dead people I know :\) or lying in bed as I see a white tiger charge at me and bite me, sending me awake.
I think something that is more common for me is "sleep paralysis"; it is what some people like to refer to as "dreaming while awake", or a nightmare in this case. When it occurs, I will first become immobile (this actually happened to me this morning as I couldn't move in bed though I was conscious), and will probably experience a dreadful feeling as if some evil presence is nearby. It has occurred frequently enough that I can predict when it's about to happen due to that "sinking into my bed" feeling. They're scary, but harmless. I can avoid experiencing sleep paralysis by shaking my body or trying to sit up in bed; other times, I'll let it happen and enjoy the ride!