There are two big themes for Sam in Nightmare: his family as contrasted with Max's, and Sam's powers.
Sam and Max: Just how alike are they?
"Both our families are cursed."
From the beginning of the episode, Sam identifies with Max. Initially, it's because he believes Max's father was killed by some supernatural being and Sam feels empathy for the grief he imagines Max must be feeling.
Later, he says to Dean: "Well, I know one thing I have in common with these people...Both our families are cursed." This isn't the first (nor last) time Sam makes reference to his feeling of being "cursed" (the first is in Hook Man: it's Lori who uses the word "cursed" but Sam certainly feels the same), but Nightmare is the only time he's made this reference to his family instead of himself, alone. In some ways, this is progress. Sam is beginning to recognise how much he and John Winchester have in common, starting with their common tragedy.
But Sam is mistaken about having these things in common with Max. Max feels no grief for the man he killed, and if his family is cursed it's only through Max himself. But there is one thing Sam and Max really do have in common, something Sam doesn't reference directly in the episode, but I believe he recognises it.
That thing is Fear.
For Max, it's all about Fear. He comes right out and says it: he killed his father and his uncle, and he intends to kill his stepmother, because he's so terribly afraid and doesn't want to feel that any longer. It's not an uncommon response to the kind of severe abuse Max suffered.
Though there is no suggestion in the episode that Sam suffered similar abuse, he does empathise with Max's position: "With what he went through - the beatings. To want revenge on those people, I'm sorry, man, I hate to say it, but it's not that insane."
This empathy is what allows Sam to connect with Max and persuade him to listen, if only for a few minutes. Another thing Sam says caught my attention here: "No, don't you get it? It won't. The nightmares won't end, Max, not like this. It's just more pain."
It's all about Fear. Fear is the reason Sam swore he would never hunt again. In the Pilot when Dean challenges him about wanting a "normal" life, Sam responds: "No, not normal. Safe." And, remember this exchange from Phantom Traveler:
DEAN: Seriously, are you still havin' nightmares about Jess?
SAM: Yeah. But it's not just her. It's everything. I just forgot, you know? This job - man, it gets to you.
DEAN: Well, you can't let it. You can't bring it home like that.
SAM: So, what? All this - it never keeps you up at night? You're never afraid?
Throughout his childhood, Sam lived with a fear every bit as real as Max's. But his solution was to leave it all behind. Max's answer is to confront the source of his fear, with tragic results for all concerned.
For Sam, his empathy for Max throws the differences between them into sharp relief. Essentially, Sam does blame John for the fear in his childhood; without John and his "crusade", Sam wouldn't have grown up knowing that sometimes the monster in your closet is real. He is right to assign responsibility for that to his father, but Max forces Sam to recognise, I think for the very first time, that things could have been a hell of a lot worse.
Max says, "When my dad used to look at me, there was hate in his eyes. Do you know what that feels like?" Sam acknowledges that he doesn't know what that feels like, and within that acknowledgement is the deeper understanding: that John made the choices he made because he loves his sons. Maybe he didn't always make the best choices, but Sam finally acknowledges that he always had their best interests in mind. It's a big turning point for Sam: from his utter rejection of John's "crusade" in the pilot, to the moment when he is able to say to Dean, "We're lucky we had Dad."
"What is it about the Millers? Why am I connected to them? Why am I watching them die?"
Does Sam use his power, whatever it really is, or does he allow it to use him? This is the main question Nightmare brings up for me.
In Home, we saw Sam act in a very determined, single-minded way when a dream showed him a woman in danger. In the opening scenes of Nightmare, we see Sam behave in the same way. He wakes from a dream about a total stranger. It's the middle of the night, yet instantly he's up, packing his bags, telling Dean they have to leave right away.
Perhaps it's only Jess's death that motivates him; certainly it's a strong motivator for Sam in all of his life. He chose to ignore his dreams of her death, and she died, so it does make perfect sense that he would be unwilling to ignore any death vision he might have. But Sam is so utterly single-minded about this vision (and, indeed, about every vision he's had during the first season) that I wonder if, possibly, Jess isn't the only motivator for him.
There are sub-textual hints in several episodes that there may be a sinister side to Sam's abilities. In Nightmare, Sam seems in serious danger of allowing his powers to control him, instead of the other way around. He is a passive recipient of his visions - passive in that he does nothing to control the visions. He doesn't try to "see" something, or not to. It just happens to him. (This is underlined by Sam's rejection, at the end of the episode, of Dean's suggestion that they try out Sam's abilities in Vegas. I mean, seriously - if you could see the future, wouldn't you be just a little tempted to try it?) After a vision, Sam does whatever he thinks the vision is telling him to do and he forges ahead regardless of what anyone else thinks. In this, if in nothing else, Sam compares unfavourably to Max who is completely in control of his gift.
Sam asks, early in the episode: "Why would I even have these premonitions, unless there was a chance I could stop them from happening?" It appears that Sam did see Roger Miller's death before it happened, but certainly not soon enough to have had any chance of changing the events in his vision. Which makes it a very good question, Sam asks: Why? Why would he see something like that?
Canon gives us a partial answer: because it's connected to The Demon. But that answers without answering. Do Sam's visions come from some higher power? Or is the ability all his own (which would imply he has some kind of a psychic connection to Max, and presumably to others)? If the visions come from outside him, somehow, should Sam trust them as deeply as he does?
Alongside his absolute certainty about the vision, Sam finally comes out and admits to Dean that its scaring the crap out of him. Oh, he doesn't use that phrase, but it's right there, unsaid. In Home he asked Missouri: "What's happening to me?" and got no useful answer. In Nightmare Sam asks Dean: "Why is this happening to me?" and again, he gets no helpful answer. But at least he's getting closer to the right questions.
I have one final observation about Sam's powers in this episode; something that neither Sam nor Dean appears to notice. This is just speculation on my part, but...
- In Bloody Mary we learned that Sam has some precognitive ability - as far as I remember, he is the only person we've met in canon with that ability (except maybe Lucas in Dead in the Water, but that may not have been precognition).
- In Home Sam apparently had the ability to sense spirits that others couldn't see; an ability shared by Missouri, whom he met for the first time in that episode. Though he later mentions feeling occasional "vibes" (in Asylum) and makes reference to his ability to see strange things (in Faith), Sam has not displayed that particular ability since Home.
- In Nightmare Sam again displays a new power: telekinesis, which is shared by Max, whom he met for the first time in that episode. Though he mentions it to Dean at the end of the episode, he is unable to reproduce the effect, and he does not display this power again in season one.
I'm wondering if Sam is kind of like Rogue in the X-Men franchise: she can temporarily absorb the powers of others and use them herself, and it looks to me as if (other than the visions) that's exactly what Sam is unconsciously doing.