Nightmares in Destiny 2 are needed to clear the Essence of Pride and complete the Shadowkeep story campaign, as well as receive a number of bonuses from Eris Morn. They only appear in certain Lost Sectorsso knowing where to go can save you tons of time.
Tips:
Nightmares are constantly reviving, so feel free to run the same Lost Sector multiple times if it's easiest.
To complete the quest "Essence of Pride" you only need to completely go through the Lost Sector several times and kill all the Nightmares. You shouldn't put too much effort and try to clear the sector 5, 10 or more times.
European Dead Zone (EMZ)
Widow's Way - Northwest Trostland.
And about
Ulan-Tan Grove - North of the Abandoned Oasis.
Afix Guide (unconfirmed) - southeastern part of the Rift.
Titanium
Methane Stream - Northwest part of Siren's Watch.
