For me, closest thing to nightmares would be dreams about some difficult or embarrassing social situations. I do also have some dreams about dangerous situations, but those are mostly just exciting. Often they remind me of action movies. It's fine as I'm typically not a defenceless victim in those dreams. Especially afterwards if feels kind of cool to have had such dreams. Well, I suppose the exception would be ones related to traffic. In those I'm either continuously going from one dangerous situation to another and just barely missing an accident, or sometimes I even end up in an accident. Not fun. On few occasions, it takes like 20-40 seconds after waking up before I realized that there's no real-life fine to pay for the traffic violation, etc.
Quite often I can figure out the likely causes of the contents of my dreams. They tend to be some kind of mixture of things that have happened during the last few days and things that I'm expecting to happen during the next day. Often they are just mixed and recombined in very strange and sometimes symbolic ways. E.g. a dream about me and my mother walking in a dark forest and me trying to fight off a pack of wolves with a knife was almost totally explicable by the elements of a trip that we were going to make the next day, even though it didn't actually involve a forest, wolves or a knife.