I have dreams about impending death all of the time, particularly (for some odd reason) about cycling and finding that my brakes have failed. (Occasionally I might be driving instead).
However I'm weird (yes, I KNOW I'm weird) in that I absolutely LOVE nightmares. For me, waking up screaming and covered in sweat is the equivalent of someone enjoying a 'max-thrill' ride in a fairground (which I'd never go near!). I can't wait to get back to sleep so that I can be terrified again!
;-)