http://www.youtube.com/watch?v=3-2mNfAO-WQ (I can't embed any more)
He seems to believe the nightmares are tied to sleeping with Catherine because in doing so he cheated on Katherine. Also Katherine is pregnant. That may have been announced already, I haven't been keeping up with the coverage. He also believes that he may die in his dreams, if he falls to the bottom. The bottom of what? Who knows. Maybe it's just a void. What do you guys think of a cameo in the English version of the game, when the west might not see this game? At least not for a while.
Edit: updated with higher quality link.