Worst nightmare I've ever had? Easily, one tops the list.
So, me and my then fiancee (now ex) living in my first apartment. I fell asleep, and had some random dream. Then, I woke up, but something felt off. I walked out of the bedroom and into the kitchen. Got a glass of water, but when I turned around there was a ghostly, floating woman dressed in a ragged black dress just....there, about 10 feet away. I immediately knew what this being was, it was a banshee. I also knew that there was no weapon I had in the house, let alone close at hand, I could use to fight this being. I realized I was going to die, and so was my fiancee, and there was nothing I could do against this. I didn't know until that night I could scream like that, in sheer terror. It swooped forward VERY quickly, and made an ear-wrenching noise right in my face. Black. I woke up, and fell off the bed. I was so shaken by realizing I could have just died, I couldn't go back to sleep. I grabbed one of my knives (though I still knew it couldn't do anything) and patrolled the apartment for an hour and a half.
Through this I learned what I am absolutely terrified of: not being prepared, and not being able to fight back in any way.
~Nix