Studies have shown that when woken from a dream during sleep stages 3 or 4, subjects exhibited primarily positive emotions through a number of tests and brain wave measurements. 

On average, however, patients that were shaken from their slumber during REM sleep (when the most vivid dreams occur), almost always reported having some kind of negative emotion in their dream. This would carry on into their waking life if the dream were severe enough. 

Scientists speculate that this is due to the stimulation of the amygdala during REM sleep, the part of your brain that controls fear. Combine that with the fact that the brain waves of an awake person and those of someone in REM sleep look almost identical, and you get some very interesting conclusions. 

Basically, the dreams that you have in REM sleep reflect your waking concerns. They are meant to prepare you for a situation that you are consciously or subconsciously worried about. This would explain why a child has nightmares about getting attacked by monsters in their closet, while adults have nightmares of not being able to find a class or showing up naked to an interview. 

As a side note, one study found that subjects who suffered from prolonged depression had longer periods of REM sleep in their normal sleep schedule. 

Just something to think about.