I haven't had too many nightmares in the last 5 years or so (struggling to think of any), but when I was a kid I was plagued by them. Usually, it wasn't the content of the nightmare that was scary, although the content could be disturbing. It was more the feeling that accompanied them: that something was really really wrong. That feeling juxtaposed with the non-scary content in such a way as to make the whole all the more foreboding.
My tentative theory is that my family's grandfather clock played a major role in my nightmares. That fucker had a helluva scary chime, with which it sounded every hour. I suspect that such chimes were often the point at which my dreams took a scary turn. Eg: at a pub with friends, playing darts (yes, this was a dream I had as a kid). We all leave to go home. Pushing a shopping trolley with a friend in it down the road. Suddenly I notice there is a full moon. Suddenly I realize I'm walking down a narrow road through the forest at night. Cue faint wolf-howl.
Other nightmares I remember:
a conveyor-belt with happy, gurgling babies on it, going through the sort of scanner you have at airports. When they came out the other end, one by one, they were screaming with their mouths bloody and teeth lying in shattered pieces around them. The conveyor belt was infinitely long.
my neighbourhood turned into a giant collection of unpopulated circus-tents with carnival music in the background.
my neighbourhood empty and overgrown with weeds. Me wandering around looking for anybody at all.
me waking up with my mum sitting on the end of my bed looking at me. I start to tell her about the nightmare I had, then realize it isn't my mum at all and that there is no weight on the bed where she's sitting.