The Joker:
When you have a nightmare you usually try to sleep through it, since he rarely notices when you stir. Sometimes you wake up from them, you look around making sure Joker is still with you and everything is normal, he will gently nudge you which is his way of saying, "Go back to sleep." Then you would lay back down and he would put an arm around you in a protective way.
Dr Jonathan Crane:
He doesn't seem to sleep much, so when you wake up after having a nightmare he is always there. Your nightmares are very realistic, sometimes you wake up in a little bit of a sweat or have a hard time waking up at all. When you wake up in a noticeable panic he would look over at you and put a hand on your leg, "Again?" He would say quite calmly. He then would have you explain the nightmare in great detail as he cuddles you to calm you down, he's always fascinated by them.
Roman Sionis:
He stays at his club late a lot, so when you have a nightmare that forces you to wake up, he's never usually there. If it's really that bad and you can't settle down, you will get out of your bed to find him. You'd run into him in his living room just getting back from his club. "Roman, I know this sounds childish, but I had a nightmare." This would cause him to smile for a moment then comfort you by cuddling you on the couch until you both fell asleep.
Two Face:
You don't normally dream of anything, but you occasionally get interrupted by a very detailed nightmare. Waking up in a frantic state always catches Two Face's attention even if he's asleep, he'll wake up and look at you tiredly then ask if you're alright. When you tell him your nightmare, which is usually about losing him or him getting killed he will smile at you warmly and whisper in a deep but comforting voice, "It's okay princess, we're still here." After hearing that you would begin to fall back asleep.