Me, I don't write down every single nightmare I have, as I have about 5 or more a day on average... and most of them are recurring and self-explanatory... mostly revolving around my father and him trying to kill me, or me trying to kill him, and the funerals of my family. But I do have a dream journal like Nam mentioned, and I will write down the more bizarre ones. I think analyzing them would be helpful, especially if it helps you to figure stuff out about yourself.