For as long as I can remember, I've always been able to tell that I am dreaming, I would tell anyone, most of the time people I've never met, that this was a dream and sometimes my dream will repeat itself over and over in one single dream. I've even explained to the random people involved that I've gone through this before and I know what will happen next, but I don't know how to stop the loop. I've noticed that some characters in my dreams know it's a dream too, but are unable to give me any information whatsoever but they do tend to guide me through whatever it is I'm dreaming. It was the same with the last nightmare I had, which was back when I was abiut 6 or 7, about 10 to 9 years ago. I was having a nightmare and all I wanted to do was to wake up, so I asked Grim from the Grim Adventures of Billy and Mandy what to do and he told me to shut my eyes real tight and I would wake up, which I did. Lately I've been having a hard time remembering everything in my dreams, and they seem to switch from one dream to a new one. I thought it might be something to post about, but I'm not too sure if it is or if it's just me having weird dreams.
Seems like you are quite good at lucid dreaming since you can remember each of your dreams. However, since you are good at this, you should also be able to control what you see in your dreams. Just try to control your dreams, and as a result you will be able to turn your nightmares to something good.
I've had similar dreams, does it feel like your changing channels on TV? I have once had a dream where I was swimming in the ocean and I saw a fish and then all of a sudden I was in another dream at a mall being chased by a monster every one in my dream knew it was a dream but still couldn't do anything but try to escape.