Are Amnesia players adults or teens?

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Dude, who said that I was talking about you?

And how can a game give you nightmares? I mean.. Am I really the only one who never had problems with any horror movie or game?

It's possible you don't want to be scared and therefore don't let yourself. If you think that makes you cool, then you should know that almost everyone here agrees that not being scared is a missed opportunity, as well as usually being the player's fault. Unless waking up in a strange castle with no memory of who you are and having to evade monsters is a normal thing for you, I don't see how you can not be scared - because it is scary.