I also had a lot of scary dreams when pregnant. I think we are on 'high alert' and let's face it, our bodies are working hard when we have a baby growing within.
I would stay really busy doing things unrelated to the baby. Read lots of books and, in fact. read before falling to sleep. This helps keep your mind occupied and it is less likely to drift to thoughts about something happening to the baby.
Again, I too had these types of dreams and thoughts. Most women do. If it becomes too bad, perhaps talking to a counselor will help. Our hormones when pregnant and right after pregnancy can also get out of whack causing more anxiety or depression than usual. Definitely talk to your ob/gyn about this and if she/he feels further help is needed for you, get it. good luck
It's not uncommon for pregnant women to worry about their babies. I went through this myself during my whole pregnancy and my daughter was perfect when she was born.