Mark said: Lucid dreams .... not happy dreams ....
What is happening to you is an excellent indication of good therapy. When I started CPAP, I went through the same thing - many vivid dreams and many of them unpleasant. Many other beginning CPAPers report the same thing.
Here is what is going on. Prior to CPAP you had many respiratory related arousals (RERAs) which caused you to get very little REM sleep (and maybe very little sleep at all). Now these arousals are being greatly reduced by CPAP and you are experiencing what some call "REM rebound".
When transitioning from a state of little REM sleep to a state of good sleep, the portion of time spent in REM sleep will be unusually high. The most dreams occur during REM sleep and people are more likely to remember dreams that occur during REM sleep. REM rebound can last a few nights and some people report it lasts for weeks.
What can help a person with the fear is, first, knowledge that REM rebound is a normal, healthy experience; second, understanding that everyone's dreams are strange by one standard or another: and third, knowing that the amount, vividness and strangeness of the dreams will subside in time.
I had been sleep deprived for a long time and it took several weeks before the dreams subsided. Fortunately I was informed about REM rebound and kept telling myself it was normal and would eventually go away.
Some people like to record their dreams in a journal. (My real life is so strange and wonderful that I didn't take the time to record the dreams. :))
Here is a mention of REM rebound - http://www.macalester.edu/psychology/whathap/UBNRP/sleep_deprivatio...
Being a believer in a Creator who created each of us in his own image, I find the subject of dreaming fascinating.
Did God create us with a mind that dreams when asleep? If so, why did he create us with this attribute? Is dreaming a God-like attribute?
Or were we created without dreams and original sin brought dreams into our lives?