A mare is an evil spirit or goblin in Germanic and Slavic folklore that rides on people's chests while they sleep, bringing on bad dreams, or "nightmares". They are often similar to the mythical creatures succubus and incubus.
Many stories relate mares with horses, either by them sitting on their victims chest during sleep, "riding" them, or believed to "ride" horses, which left them exhausted and covered in sweat by the morning.
One tale from the Vatnsdæla saga, tells that Thorkel Silver once had a dream about riding a red horse that barely touched ground, which he interpreted as a positive omen, but his wife disagreed, explaining that a mare signified a man's fetch and that the red color boded bloodiness.
Nightmares are demons that take up residence in one's dreams. In Castlevania: Circle of the Moon, they take the form of female demons, similar to other lady bats such as a the Succubus, which is also known to invade men's dreams. In Aria of Sorrow and later games, it takes the form of a undead horse, with an armored rider on occasion. The Nightmare's soul, Evil Gallop, fires a flaming horse forward.
This enemy seemed to be planned for appearance in Castlevania: Dawn of Sorrow, as evidenced by concept artwork for that game. Although it never made it in-game, it appeared in Castlevania: Order of Ecclesia, deeply resembling the concept artwork.
First appearance of Nightmare in the series. She is one of the five lady bats encountered in the game, among the likes of Lilith and the Fallen Angel. She is found inside a hidden room near the beginning of the Outer Wall, although she will only appear after defeating Death.
Similar to other lady bats of her kind, Nightmare soars through the sky with great agility and has a circle of energy rings around to protect her. After making a few swoops, she will attack by sending forth all of her rings toward Nathan, which will return to her after a moment.
Nightmares are encountered in some of the underground waterways and long caverns that comprise the Underground Reservoir. Unlike their Circle of the Moon counterparts, they are now portrayed as horse spirits engulfed in a blood-red aura. They only attack by galloping back and forth along a determined trail's length. Some of them come mounted by an armored knight wielding a jousting lance, although there's no difference between these and the other variant.
Nightmares retain their equestrian form seen in Aria of Sorrow, although they are much larger this time around, their heads and chests come clad in armor, and the rest of their body is rotten and devoid of flesh, much like the Behemoth, having an exposed thoracic cage revealing their entrails, and with their hind quarters being just a mere skeleton.
They inhabit a few caves in the Tymeo Mountains. Similar to the previous game, they just gallop back and forth along a determined distance, although now they will vanish as they approach the end of their trail and reappear a moment later already galloping toward the opposite direction. This makes them not very threatening enemies, as they become unable to harm the player while they're shifting planes.
Nightmares drop Horse Hair, which is required in order to complete George's quest: "The Silent Violin". Since they're weak to Strike, equipping a Macir glyph will be usually enough to defeat them in just a few hits.
Their physical appearance in Order of Ecclesia concords with the concept art released for Dawn of Sorrow, where this enemy seems to have been planned but ultimately didn't appear in the final game.