In my late teens, a dear friend of mine died suddenly (in a traffic accident, I seem to recall). We all went to the funeral, dealt with the grief, everything. Then one day I woke up suspecting that the past (weeks? months?) were but a bad dream. I was so distraught that I had to (wait until sunrise and then) call my friends' parents to verify.
She's alive and well. But that night was by far my worst nightmare.
When I was a kid I had a recurring nightmare where I realized I was asleep but couldn't wake up. It was largely based around places and people I knew, but fucked up things would happen. The places were completely weird and messed up, even though in the dream they felt normal. I would eventually realize I'm dreaming, but I was trapped in my dream and couldn't wake up.