Note: A nightmare is a dream that causes you to wake. If it does not wake you, it's only a bad dream.
Anyway, the worst would probably one I had when I was four or five. It was pretty weird, and scary. I was in this shopping centre that was possessed by a demon thing and it tried to make me kill myself and I was screaming that I didn't want to and I woke up and freaked out and have never had a Mickey Mouse quilt cover since.
Yes, quilt covers and nightmares about shopping centres are totally connected.
The dictionary begs to differ...
–noun
1.
a terrifying dream in which the dreamer experiences feelings of helplessness, extreme anxiety, sorrow, etc.
2.
a condition, thought, or experience suggestive of a nightmare: the nightmare of his years in prison.
3.
(formerly) a monster or evil spirit believed to oppress persons during sleep.
I don't see anything about waking up there...