I also had a lot of scary dreams when pregnant. I think we are on 'high alert' and let's face it, our bodies are working hard when we have a baby growing within.
I would stay really busy doing things unrelated to the baby. Read lots of books and, in fact. read before falling to sleep. This helps keep your mind occupied and it is less likely to drift to thoughts about something happening to the baby.
Again, I too had these types of dreams and thoughts. Most women do.