I get those dreams rather often. Sometimes it ruins the whole day when I wake up and realize it wasn't true.
Usually they are about having fun, adventuring, perhaps mostly getting (back) together with a girl I happen to miss at the time. I have meaningful and fun conversations with people I haven't seen in a long time, usually in environments which only exist in my mind. Last time I won a load of money as well.
Closest I've come to a nightmare is a dream where I was in a dimly lighted world, on top of framed windows which extended to horizon and beyond. Through one window beneath me, I watched some bad guys from Turtles plotting a bank robbery or something. I moved a bit and suddenly a shark crashed through another window (which should have been on top of the same room as before, but there was an ocean instead) and bit most of my other leg right off. I woke up to that, but it wasn't as scary as it was funny.
Probably the most nightmarish more recent dream, two years ago, was about work. I drove a vehicle on fields for an average of 14 hours a day that summer, and you could sink and get stuck in some softer areas in the soil. Then you'd have to call for someone to pull your vehicle out. It was somewhat embarrassing and the distances were so great that you had to wait for up to two hours sometimes. So I had a few dreams where I sunk into the ground, with the little time I had to sleep. But that was work stress -related and therefore rather self-explanatory.
Never really having proper nightmares, at least as far as I know, it's impossible to know what they're like. But I must say it has been quite devastating sometimes to wake up happy from a dream, where I've solved my 99 problems, found happiness, love and prosperity. The first 5-10 seconds you think that really happened you're on top of the world, but then the awful reality creeps in and crushes you.
edited a bit