I don't have nightmares. No, when I go to sleep and enter the realm of dreams, I have maddening psychotic visions of hell and experience chaos and terror in their truest form. Fortunately, I don't dream much, but when I do it is bound to be bad. Often when I dream they are very vivid, very clear, but I don't always know that I am dreaming. A couple months ago for instance, I had fallen asleep in my basement. When the dream began, I had "woken up" and proceeded to walk up the stairs to my living room. When I arrived I found my mother running around frantically and my father sitting on the couch rocking back and forth crying about something. Terrified and confused I asked him what was wrong. He said, "There's a dead cat!" I ran and checked the garage where all the cats hang around. Nothing. I walked back to the living. "What do you mean?" I asked him, "the cats are fine, why are you crying?!" This is when the dream became incredibly vivid. He screamed back at me, "ThERE"S A DEAD CAT!" All I could hear after that was loud screams and moans. I put my hands over my ears, trying to block it out. I began to notice my surroundings. Everything was "off." I thought that maybe I was tripping. After several minutes of putting up with the terrifying atmosphere of the dream, I suddenly began to float out of our living room-- Easily the most terrifying thing about the dream (I'd even go as far as too say the scariest experience of my life.) Of course, this is when I woke up. I felt very very emotionally mute following the dream, as if all my emotional energy had been completely sucked out of me. I always have a strong urge to commit suicide after these dreams. But it's not out of sadness or self hate. I just feel so numb and death seems so appropriate. This is a normal dream for me. There are always screams. Always utter confusion. Always absolute terror, much more then I can do justice by describing. I had another dream last night that was similar although it was less vivid and I can't remember the details well enough to share. Something about getting stuck in the wilderness by myself and limbs getting ripped off. When I came to, I wanted to cry but didn't. I began reminiscing about a time when all was happy, when I wasn't depressed, and there was nothing to doubt. I want to go back to that time, although I can hardly attest to the existence of such.
Well, you gave away part of the answer at the end of your post. You are depressed. The chemicals that are related to depression will affect the way that you sleep and dream. The feelings of terror that you experience in your dreams are probably related to your depression. I also think that you might experiencing state dissociation, where you are caught in between different sleeping/waking states. See the page on night terrors. This could also have to do with you being depressed. The part about the dead cat could be your unconscious saying that you feel something inside you has "died", or an expression of a feeling that something is terribly wrong, but I think the main issue here is your depression.
I'm sorry to hear of your nightmares - that really sucks. I agree with Marcia. You are probably depressed, and your suicidal thoughts are obviously concerning. I suggest you see a therapist if you aren't already. The title post "What's wrong with me", might also describe how you feel about your waking life. You might start by listing what's right with you. Maybe you could also come up with a game plan for how to cope when you have these dreams. You could keep a cheat sheet next to your bed to tell you what to do. It's hard to think clearly - maybe impossible - at these times.