Nightmares
Honestly speaking, this is one of the most complex areas of dream science. To understand exactly what causes nightmares is not always possible, the mind is so little understood even in this day and age, that we are unable to link the horrors that we experience at night directly with our experience of reality. From a psychological point of view, some of these Nightmares can be easily explained by finding a an influence for them within a person's daily life,or indeed their past, the point most widely acknowledged is that the reasons for Nightmares run much deeper than most people think.
Next: How do nightmares develop?