Nightmares are dreams that make you pee yourself even when you aren't a bed-wetter.
Many people throughout history have had varying theories on what nightmares are. Maybe they are repressed memories, perhaps past lives, maybe alternate realities, or perhaps even astral projection. Trying to keep all of the theories straight is a fucking ni... headache.
The word Nightmare comes from about a dozen old world languages; they believed in a mare, a goblin thing that brought bad dreams. It is kind of the horror nerd version of the incubus, who was all about the booty. Mares were all about creeping people the fuck out, like the fat kid who wears black and listens to ICP.
Boo! I bring you bad dreams! My dad doesn't love me.
The English, back in the day, believed that some nightmares were made by hags; creepy old women monsters (or possibly just creepy old women). The term "Hag ridden" was used to refer to people who suffered from what is now called Sleep Paralysis; the phenomena that make speople think they are being probed anally by aliens (we don't even want to think about what is the underlying reason for believing that alien visitors want to insert their butt plug into you). The term also sounds like the most awful fetish porn available that doesn't invlove poop or horses.
No doubt the idea of the hags causing nightmares was perpetuated by the fact that parents used to be even bigger assholes, not being happy with "Wait until your father gets home" and jumping straight into "Be good or the scary old lady will kill and eat you, then make a leather belt out of your skin".
So what does this teach us? Back in the day, one of the causes of nightmares was... Talking about nightmares.
So you have a scary dream, or a repeat nightmare that haunts you often. That's pretty normal, right?
Right. Guess what else is normal? Being completely screwed up. A lot of people believe that nightmares exist as a way for your subconcious to torture you about all kinds of fun things like repressed guilt, repressed childhood memories, no doubt fears about repression, and fears in general. Nightmares are proof your subconcious is a deviant asshole just looking to make sure the one time of day when you can get away from it all and perhaps have that daring bungee-jumping threesome with the two women down the hallway (in your head) gets ruined.
The F.E.A.R. Games cause nightmares, but mostly this is just a scary picture.
Some people believe that you can control what happens in dreams, and that by doing so you can conquer your nightmares. Yay! And by extension, once you have smote (smitten? smate?) your dream demons (heretofore to be called "dreamons") you will have conquered your real fears. This, of course, has some problems as a theory:
As you can see, biggest problem with nightmares is often reality. We have them because life sucks, and is populated by mean people, freakish parasites, monstrous animals and hot girls who enjoy laughing at us just to make us feel inadequate.