Gosh I haven't had what I'd consider a 'nightmare' in years! I reckon part of that might be simple blessing, and another part being I don't get scared easily (this b/c I'm strong in my faith I guess, and I have a sharp understanding of who I am).
But every time I've had a dream of people trying to murder me, I always win in the dream, either by escaping, or turning the tables unto my attackers either dying or being thoroughly incapacitated! This either by a stroke of luck (Oh look! A hammer is right next to me, even though I don't carry one!) or by thinking ridiculously quickly off my feet - which I guess is luck on overload! But each way, these would be nightmares always end w/me the victor, thus not nightmares.
But for those of you who have dreams that you don't like, I'm a big believer that dreams are more than simply the brain filtering out stuff. There's always something to learn from it, be it a life lesson, or general knowledge, or knowledge to be used in the future or something. Try seeing what life lesson or bit of knowledge you can learn from the unpleasant dreams.
And while I'd normally give y'all something like Iron Maiden to listen to, I think this great old Blue Rodeo song is more fitting at the moment, specifically the 3rd verse:
http://www.youtube.com/watch?v=HKnHa8VTTFk&feature=fvsr