I never had a dream/nightmare of Amnesia. I think, that's because Amnesia is not terrifying enough. It is horror in an other way, what doesn't men it is less scary, but it is still never terrible as Black Plague or Silent Hill. From what I got nightmares.
While Black Plague and Silent Hill are terrible at horror, Amnesia is more just about atmosphere and melancholic. It is same scary than the others, but a terrifying setting is that kind of horror, what makes me more psychological fear.
What I mean is a frightening kind of horror like this, what shocked me more than the cozy moments in Amnesia.
The Silent Hill series did a better job at horror, especially the
sounds composed by Akira Yamaoka, which are much more scarier than the beautyful music by Mikko Tarmia. Amnesia is still the best horror game, but not the scariest. And when we talk about nightmares, you will get more when playing Silent Hill alone at night.