I looked up the origin of the word "nightmare" this morning - I was wrong about the origins of the components being obvious...
Interestingly, the mare in nightmare has nothing to do with a female horse. Instead, it comes from Old English maere 'goblin, incubus.' The word was nigt-mare in 1300, and it referred to an evil female spirit afflicting sleepers with a feeling of suffocation. By 1350, it was nytmare and in 1440 it was nyghte mare. Mare 'goblin' is a cognate with Middle Dutch mare, maer 'incubus,' Old High German mara, Middle High German mar, mare (dialectical modern German Mahr 'nightmare'), and Old Icelandic mara 'incubus.' Mare comes from the Proto-Germanic word *maron.
Nightmare was used to describe 'a bad dream caused by an incubus' in the 16th century, and by 1829 it was used to describe 'a bad dream' in general.
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