It's the opposite for me. Nightmares I forget rather quickly, but good, or more accurately stated, interesting dreams stick with me for a long time. I can lucid dream at times and maybe this is why I remember those dreams for so long.

In terms of remembering nightmares, I think that the idea of self preservation is a good one. Also, I think that nightmares are more impactful because they touch us deeper than a nice dream of sitting in a field of flowers with bunnies running around. Also, nightmares usually revolve around things in the real world and the fear of this actually happening impact us more.