I occasionally get scary dreams, but I usually find those amusing once I wake up. There are only two types of nightmares that actually really fuck with me.

The first is the nuclear apocalypse dream. I'll be doing something routine like walking through an airport when all of a sudden there's a flash of light and something erupts on the horizon. The one thing all of these dreams have in common is the gut-wrenching feeling that something has fundamentally changed, and would never return to normal--not just something within me, or my life, but life itself. The bottom drops out of my existence and sense of reality and the realization that it's all over sinks in. Then at some point I wake up and I'm left with an empty feeling for a few hours until I distract myself with breakfast and the internet.

The other dream that really fucks me up has to do with something irreversible happening to someone close to me. I had one dream that I was with my sister at my house, and I get the idea that I should test my stereo by playing it at full volume and then seeing how far I could walk from my house and still hear it (I did this back in high school when I bought a surround sound logitech system--the subwoofer extended about three doors down my street with my door shut). Suddenly I realized that I should have been watching my sister, and a car screams by with its side door hanging open and I see that she's been kidnapped. After chasing it down the street, it drives out of reach and I realize that I'll never see her again.

One other of this type of dream involved my family and I watching TV at my dad's apartment on the top floor of his building. Next thing I know, there's a massive shaking underneath us and the building starts to undulate. We somehow make it up on to the roof, and as we do, the building bends to a breaking point and begins to fall over. Just as my family and I are coming to terms with our demise, I wake up and am left sitting in bed wondering what hell is wrong with my brain for it to subject me to that kind of emotional turmoil when I'm trying to rest.

One thing I find comforting about fantastically violent nightmares is that they're so otherworldly that I have no trouble compartmentalizing the emotions I experience. The weirder the situation, the quicker after waking up I'm able to view the experience like someone sitting in a theater watching a horror movie. It's the realistic situations that I find the most troubling, because they could very well be real emotions and they don't quickly fade once I wake up. I feel like somewhere deep down, some part of me knows what it would feel like for my life to be completely ripped apart.

EDIT and for the sake of answering your question and not getting completely off track, the nuclear apocalypse dream is by far the worst.