I used to have those types of nightmares often. They scared me, but I had sort of gotten used to it eventually. I was more weirded out than anything. But then those nightmares shifted from being chased by baddies to having someone being held captive by them. The worst nightmare I can recall was one where our car was ambushed and shot up by criminals and my father was taken as hostage by them. I still remember how I desperately tried to reason with them to let him go. I woke up shivering and couldn't sleep again.