Alice: Are you some kind of Devil?
Nightmare: I am Nightmare. I think that is scarier than a devil. Devils make people descend into hell right? But I make people descend into dreams.
Alice: But people wake up from dreams. Dreams are not as scary as Hell.
Nightmare: What do you think lies beyond a dream?
Alice: What kind of question is that? There's nothing beyond a dream. They just end!
Nightmare: Exactly. When you wake up from a dream there's nothing left but reality. Dreams are terrifying because there's and end.