I used to be scared of nightmares when I was a little kid, but now I think they're cool and enjoy the thrill of them. It's like getting to participate inside of a horror movie instead of just watching it. Nightmares still scare me a bit whenever they happen if I'm not aware of the fact that I'm dreaming, but whenever I wake up, I'll usually think "Cool!" afterwards.
My life is boring and uneventful/pitiful, so I like to live vicariously through my imagination.