Depends on the circumstances.
When I was a kid, I had nightmares quite often. Eventually I was able to recognize nightmares and wake myself up from them. Nowadays, my subconscious mind is a lot harder to deal with when it tries to scare me.
The most frequent kind of nightmare I have is the performance anxiety nightmare - the one where you forget to study for a test, or in my case, where you make a fool of yourself and your boss during a presentation by not being prepared or are caught looking at porn (or worse) at work. These are typically just believable enough for me to not realize I'm dreaming.
I had a dream once where I was apparently SUPPOSED to be masturbating at work, in my office, in front of all my co-workers of course (apparently they needed some jizzum for something). That was probably the most bizarre semi-realistic dream I've ever had.
The other kind is what I like to call the Unexpected Instant Death dream. The dreams I've had from this range from a meteor hitting the Earth, to the Earth falling into the Sun, or aliens blowing the Earth up Independence-Day style. These usually bring an abrupt, unpleasant end to otherwise normal dreams.
My approach to nightmares is typically to preempt them. Most often I have nightmares when my bed or room gets too hot during the night or if I'm thinking about something I'm anxious about in real life. Solution, climate control, and positive, relaxing thoughts before bedtime.