I've always had pretty scary dreams. I never wake up screaming or anything... but I do wake up still terrified. Fortunately it goes away once I clue in that i'm awake (it takes a while. I've had those dreams where you' "wake up" and then end up still in a nightmare!). By now, I sorta laugh at them once I'm fully awake - I can outdo the best horror films.

I've definitely died in my dreams. And been tortured. It's not pleasant feeling yourself die, even in a nightmare! (once I died at the start of the dream and then was a zombie! I have a new appreciation for zombies due to it).