My nightmares are usually pretty scary, but I can usually control my dreams so that I survive.
Example: Shortly after purchasing BioShock, I had a dream that I was in BioShock, except that Rapture was a floating city in the sky instead of at the bottom of the ocean. Oh, and it was called Eden. But everything else was still BioShock: ADAM (called LIFEBLOOD), the Plasmids (called Powers), the Splicers (called Bleeders), the Little Sisters (called Angels), and the Big Daddies (called Devils).
As I walked through the city, I was attacked by a horde of 20 Bleeders and had no pistol ammo to kill them with. Faced with death, I was freaking out until I remembered: hold on, isn't this a dream? And I remembered: yes, it is. So I simply stared at a garbage can, imagined it holding a shotgun and 40 shells, then searched the can and preso! Behold a shotgun and 40 shells sitting there. The horde of Bleeders was quickly dispatched.
That happens alot with my dreams. I think it's a defense mechanism against death. Because I can't do it all the time, or for trivial things, but only when I'm in a life-threatening situation.