Are you ever able to realize you're dreaming in your dream? If you can ever do this, you can sometimes change the events of your dreams. Take control of them, so to speak, instead of letting them (your unconsciousness feelings and emotions) steer the wheel. I did this with a recurring dream of falling, I just let myself land to see what would happen, it was just like lying down to bed, once I made the conscious effort to explore it and realized nothing happened, I haven't had the dream since.
You may even try to practice it in dreams that aren't scary. Just to give yourself the confidence that it's possible.
Sounds weird, I know. But it's worth a try.
Either it'll work or it won't, right?