Dreams But No Sleep...

I've always had weird dreams. Some more weird than others, some lasting ages, some not. But every so often I will dream for what seems like an eternity but wake up feeling like I've had no sleep. Dreaming wears me out. Mostly they are just long, odd dreams, but some nights I will have frightening or stressful dreams which really really wear me out. I wake up several times a night feeling frightened or upset, and fall straight back into another bad dream. I don't often remember what they are about, but usually it's someone trying to get me, or me being out of control.
I woke up this morning more tired than I went to bed, having dreamt bad dreams all night but hardly slept.
Why?