Nightmares have had some interesting variations. The beyond-excellent
Power Score RPG has a good article on them,
A Guide to the Nightmare, though the author does note they seem to be an underutilized monster.
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Interesting to see that the nightmare went from an emaciated horse with only flaming hooves to an impressive steed with flaming mane and tail.
The 3E Monster Manual established the existence of greater, Huge-sized nightmares called cauchemars (which is the French word for nightmare). Pathfinder retained the cauchemar but made it more unique by making the ability to enter the Ethereal Plane an exclusive trait of cauchemars rather than all nightmares.
In 4E, all nightmares are said to be the progeny of two immortal parents: Sin's Reward, the greatest nightmare of the Nine Hells, and Thunder of Hooves, a huge, many-legged nightmare that roams the Abyss. When the urge takes them, the two travel to the Shadowfell to mate, the resulting foals split between those that follow Sin's Reward to the Hells, those that follow Thunder of Hooves to the Abyss, and those that remain in the Shadowfell. 5E presents a simpler but more wicked origin for the nightmare: they are pegasi whose wings have been torn off in an evil ritual.
I'm not certain which origin I like more. The defiled pegasus angle works for me, but I also like the idea of Sin's Reward and Thunder of Hooves (though there's no reason the pair couldn't still exist as unique nightmares even with the defiled pegasus origin).