What's with the psycho dreams?

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I always have dreams that someone or something is trying to kill me. I don't understand it because it doesn't fit what's going on in my life at all. I mean, don't you usually dream about things that are happening around you or what you're worried about? When I wake up, I feel so relieved that the dreams aren't real, but then it leaves me with such a feeling of puzzlement. It's just weird.