(Sorry that it's sideways)

Nightmares are one of the things that are conceived of pure darkness. They don't have legs, so they move around by flying, or, judging by how it looks like, swimming in the air, only using body movements to get around. Nightmares didn't get their name by their appearance, it's from what they can do. They have the ability to make someone hallucinate and see their worst fear. Sometimes it's just seen in their mind, so that they're put in some sort of trance, but sometimes they can physically see the hallucination. The reason Nightmares do this is because they feed off fear to live. And them feeding off your fear isn't exactly harmless either. When they're feeding off your fear, they're slowly draining your life as well. The scythe like things on the lower parts of their arms can indeed be used as weapons.