I'm usually aware that I'm dreaming, so I can usually exert a pretty strong degree of control over the proceedings. Only exceptionally rarely (perhaps bi or tri-annually) do I have a dream I don't enjoy where I'm not immediately aware I'm dreaming so cannot change it. I usually remember them pretty well.
One which really stuck with me; I was in a room, with no idea how I got there. The girl I loved was dead, on the floor, and there was blood. I was incredibly sketched out and when I moved to see if she was okay (though I knew she wasn't) I noticed a heavy weight in my right hand. I looked down and saw that I was holding a gun.
There was more, but that was probably the most poignant moment.
So, I guess, what I do when I'm having a nightmare that I don't think is useful (just because I'm not enjoying a dream doesn't necessarily mean I'll change it), then I'll change it. When, very rarely, I can't, I get profoundly influenced by the experience.
EDIT: Bi or tri-anually means once every two or three years, right? Not twice or thirce a year...? Hmm.