Oh, I've been thinking about the Ranked Nightmares so far.

Rank I: The Despair of Liebea Palesch
Rank II: ???
Rank III: The Fear of Mana Lindis
Rank IV: The Sadness of Mina Violet
Rank V: The Suffering of Kuro Suzaku
Rank VI: The Loneliness of Seraph Strut Artwaltz
Rank VII: The Insanity of Flandre Scarlet
Rank VIII: ???
Rank IX: ???

By far, I have only Liebea and Seraph defined as Nightmares, plus two ideas to the last: The Wish of Peach T. Yakumo and The Death of Reimu Hakurei. You have any in mind?