The first thing that you need to recognise is that your dreams are yours. They are not things you happen upon, like a rainstorm or a TV programme. Dreaming is something that you yourself do, just as you plan your day or go for a walk. You make up all your dreams yourself.
This means that they depend a lot on the sort of person you are. If you are an imaginative person, you are likely to have colourful and improbable dreams. If you are not imaginative, your dreams may be too mundane to be worth remembering—or you may not dream at all.
It also means that dreams need not be puzzling. In dreaming, you are thinking—entertaining ideas. The only difference is likely to be that you are thinking in concrete terms. You are burning bridges rather than taking risks, counting your chickens rather than anticipating good things, watching a rolling stone and noticing its lack of moss rather than considering the disadvantages of leaving home. (Yes, the vivid specifics of your dreams are just like the concrete terms of well-known proverbs.)
Some dreams are wishful, just like “daydreams.” Some are painfully sad, like the sad thoughts we may have when awake, but purer and more intense. Some may reflect fears or anxieties—but something that terrifies you in a dream is no more likely to happen than something that frightens you in your waking life. Remember, you are only entertaining ideas. Your dreams are no more likely to be prophetic than your daytime “brown studies.”
If you recognise that you yourself thought up a dream you have recently had, and that the vivid specifics can be (with a bit of work) interpreted in more general terms, then it is likely that you will be able to work out how the dream makes sense. If you are not dressed in a dream, or even naked, then you may well have things on your mind which you are not sure you are adequately prepared for. You might find it useful to think this through consciously, with the extra understanding that you can call on in conscious thought. If you keep dreaming that a train leaves without you, or misses the station where you wanted to get off, you are probably wondering where your life is going—and may be wondering if it has got out of control. Some things in your life may become relevant.
Please note: these suggestions are only my personal hints. If you take the time, and are 100% honest with yourself, the same notions which produced the dream will evolve into more general terms—terms which fit your life, terms which you can consider consciously.
You may also find it useful to talk a dream through with someone else—even a set of dreams. Ideally, not with a Freudian or Jungian psychiatrist, who may have theories which they hope your dreams will illustrate, but with an intelligent, open-minded person who fully recognises that you are the only author of your dreams, and may just need a companion in exploring what they mean.
Oh, and never forget that dreams are not just you entertaining any old ideas. When entertaining ideas in their sleep (dreaming), many people have found solutions to problems in their waking life. There are famous examples on record. And dreams may force you to spend some time thinking about things which you have been hiding from yourself. You may come to face things which you need to face.
Your dreams, however disturbing or scary, may prove to be your best friends.