There is a small hill in the back of my neighbor's house, which I could see from my window when I was a little kid (about 7 y/o). I used to have a recurring dream about that hill that made me scared of even looking at it at night.
The details are confusing, of course, but there was some creature sleeping under the hill, and someday it would wake up and it would be the end of the world. In the dream, I would look up and see strange purple lights coming from the ground on that hill, accompanied by an electric buzzing. Not once did the creature actually wake up, but the sense of menace in those dreams was overwhelming for my seven-year-old mind.
Now imagine my surprise when I read The Call of Cthulhu years later...
Another one that stuck in my mind -- and even more strongly than the first, because I was twenty-three when I had it -- was one about a carnival ride that was kinda like a "ghost train". I don't know how it's called in English, or if it even exists outside of Brazil, but it's exactly what it sounds like: you ride a car into a dark tunnel and fake ghosts and monsters jump out at you during the ride. Except that, in my dream, what there was inside that tunnel was a series of death traps, one for each passenger of the car. The ride always ended with the car empty, everyone having been killed, one by one, during the course.
What was horrible about that dream was that it seemed extremely real, unlike any other I've ever had, and also the fact that we were all paying voluntarily to go in the ride knowing perfectly well what it was. There was a feeling of depression, of defeat, about that dream, like that was the only thing for us to do. When my seat was ejected and I broke my neck, the feeling was incredibly real, and I didn't wake up immediately like it always happens when I die in dreams. The experience was so intense that I wrote a short story based on it, and everyone who read that was disturbed (or so they told me, maybe to please my ego...).