Ive never found them scary either. Infact a weird side effect for me personally: since training to lucid dream i no longer get scared in non-lucid nightmares .. strange.
I have had some overwhelming and very beautiful experiences, they mostly happen when i stop for a moment and examine the detail around me or take in the views. To realise your minds creating everything you're experiencing on the fly and often in stunning colour and detail.. Well id be lying if i said it didnt have the power to render you a little speechless.