I totally agree with dolphin - having these experiences is worth it since ya know, eventually you wake up, and think how awesome it is that even dying can be simulated! Also, these nightmares teach us lessons - in the case of my cockroach dream it's about fighting your fears, and is also about knowledge (I think that with my current LD experience I would be able to make myself wake up, but there I couldn't since I didn't know that dream control is possible, and that it's all about the intention, not the move you do in the dream. With my current experience I would do the same moves, e.g. falling asleep, but I'll have the right intention and won't doubt my ability - which would probably mean I'll be able to exit the nightmare)

sujiro, I watched MIB but later... I think maybe the Mimic movie had a lot to do with it, but not sure if I watched it before or after. I do remember having a major fear of cockroaches as a child (IRL) - especially the flying type that was in that dream in human size...