koŝmaro

A French borrowing with a monster inside it. Cauchemar is not one word but two glued together, and the second half is the interesting one: a mare was a spirit believed to sit on a sleeper's chest and press the breath out. English kept it in the second half of nightmare, where almost nobody now hears it. The first half is a Latin verb for trampling. So the word is a picture of being trodden on in your sleep, and Esperanto took the whole picture in as a single root, koŝmar-.

The fence with sonĝo. A sonĝo is any dream at all, good, bad, dull or prophetic. A koŝmaro is specifically a bad one, and specifically bad enough to frighten you awake. The plain way to say it without the borrowing is malbona sonĝo, and that is perfectly good Esperanto: some writers prefer it precisely because it needs no French. Where they differ is force. Malbona sonĝo describes the dream; koŝmaro describes what it did to you, and it carries over into waking life the way English does. La vojaĝo estis koŝmaro says nothing about sleeping at all.

Two more neighbours. Inkubo is the older and more literary word for the same night-spirit and, by extension, for a nightmare, and you will meet it in older prose. Revo is the other kind of dream entirely, the one you have with your eyes open and your ambitions in mind, and it is a common trap for English speakers, who use one word for both. Keep the three apart: sonĝo while asleep, revo while awake, koŝmaro when the first goes wrong.