When my older sister was about 4 she used to have a "closet monster". She would say that there was a scary old man (she described him as wrinkly and wore old clothes) by her window. It used to keep her up at night and she would say that he did all sorts of things to/with her. A few months later my mother discovered that a 65 year old man had hung himself in that room 10 years earlier.
I also had a dream once where I was shot in the head and I woke up with a head ache. The entire thing (the dream that is) was extremely realistic and I remember every detail. There was excruciating pain and I was twitching on the floor, trying to scream for help but the wrong muscles were moving, my vision was fading and I slowly felt all feeling leave me, starting from my legs and eventually my neck. When I finally blacked out I woke up and couldn't stop shaking for hours.