Thanks to lucid dreaming, i have conquered some bad dreams.
In the past i had some situations that caused me some anxiety, fear or scare inside the dream. Maybe you had some of this also. For me, this is already gone. Here are some examples:

Subject: Elevators
Bad dream: I enter on an elevator and push the floor button. It goes up (or down) but never stops. I become scared and it always takes me to an evil-like place.
Lucid dream: Now, when i become lucid, i like being on an elevator, because i know that i cannot be hurt and it can take me to places.
Final result: Now i travel to places using the elevator. Sometimes it surprises me with beautiful ones.

Subject: People wanting to kill me
Bad dream: People on the street, wanting to beat me or kill me with guns.
Lucid dream: As i become lucid, i know that i cannot get hurt. So i challenge them to kill me if they can. They fire at me but i feel nothing.
Final result: They quit being mean to me. Some of them become friends.

Subject: Animals chasing to eat me
Bad dream: Mostly dogs, lions and tigers going after me to eat me.
Lucid dream: When lucid, i stop running. I stare at them, sometimes i scream at them to take their best shot at eating me, as i'm not afraid anymore.
Final result: They stop and some of them morph into cute little puppies.

Subject: Alien invasion
Bad dream: The sky becomes cloudy and huge spaceships fill up the sky, firing weapons, destroying all things and abducting people, including my family. All this in a very realistic way and in a huge scale.
Lucid dream: When i see the UFO's, i become lucid. Sometimes i fly (Superman-style) to destry them or shout at them to go after me.
Final result: They end up morphing from this huge "Independence-like" UFO's, to basketballs or frisbies.

To sum up: in the past i had around 1 nightmare a week. Now i rarely have one. And when i have a nightmare, i concentrate on having that again so i can conquer it.