I don't usually have nightmares, and I'm not sure if this would qualify exactly, but I'm still pretty shaken by it. The last sequence of the dream had a guy on the (empty) Expressway stop me right at the Francis Lewis exit to inform me that all the local gas stations were completely tapped out, and that with my fuel low in The Bronze Mist that I should stay within the so-called protected area. Well, when I got into the so-called protective area, there were three zombies that had somehow gotten through whatever the protection was (I seem to recall a barrier made of the cars that were on the Expressway, though I have no recollection of how, if I even thought of it, the survivors would have moved them all thus), and while I was able to take down the first two I ran into, I'm pretty sure the third one got me.
Now... I don't usually describe my dreams simply because I can't... I don't remember them at all. This one, however, gave me the serious willies, and so I'm going to hold off on viewing Shaun of the Dead for a bit.