Engelbert Sneem and his Dream Vacuum Machine by Mr. Daniel Postgate (NorthSouth Books, 2007)
For older picture book readers, here's a great read-aloud about nightmares with a twist.
Engelbert Sneem steals the happy dreams of sleeping children and keeps them for himself, but the tables are turned when one child has a nightmare about the thief.*
What happens when Engelbert turns out to be his own worst nightmare?
*summary courtesy of Syndetics.