Waking up alone; everyone you know dead.
That, and being involved in a war; not fighting it, mind you, but being a civilian in one. Imagine waking up in a warzone; you have no idea of the enemy, no idea of what to do, no combat training. Perhaps worst of all would be if the enemy in question was either sadistic, or talked a foreign language you did not understand.
Also, entire enslavement of the human race. Hell, any race, at that. These, if not terrify me, do scare me somewhat, especially if the "master" and "slave" races are quite capable of helping eachother and being on even terms.
Ignorance leads to misunderstanding; misunderstanding leads to war; war leads to pain and suffering. The outcome would either be a race completely wiped out, damaged beyond repair, or enslaved.
So all in all, possibly ignorance is the biggest nightmare. Dreams about some of this stuff gets me crying, albeit softly, but I still feel helpless and can't help but shed a few tears.