It depends on what you consider to be a nightmare. Certain kinds of dreams are extremely common and to me they aren't nightmares, as such, but expressions of anxieties that are fairly common. Dreaming of being naked or inappropritely dressed in public is probably universal. The amount of distress associated varies between individuals. I tend to think they are funny. Dreams of falling are also quite common. In my case, they usually happen as I am "falling" asleep. Dreams of sudden danger are also very common. I rarely have nightmares but often dream of very convoluted and challenging situations. Once I dreamed of being in some post-apocalytical situation and being in possession of a large cache of medicines, mainly antibiotics. All that I remember about the dream is people coming to me seeking medicine and trying to talk with them about the probable effects. So much for the apocalypse!
There was a preliminary study a while back that suggested that democrats have more benign dreams than do republicans so dreaming content may have a lot do do with personality style and one's fundamental assessment of the world which, in general, republicans seems to see as a more dangerous place than do democrats. If anyone is actually interested in the abstract, I will try to find it.
Dave