Yes, you can learn to "control your nightmares" if you have the will in your conscious to wake one's self up during a nightmare. During REM sleep, your brain waves function at a different pace than usual in ways, often giving the person acess to thoughts that come up from the deepest parts of your mind. That being your sub-conscious.
This process is called "Lucid Dreaming" in which on wakes one self up in mid-dream and realizes that it is a dream. I have PLENTY of lucid dreams and I have full control over them, being able to fly, shape-shift and control objects with your mind. The sub conscious is the strongest thing the body has, and when one sets their mind to it, you are pretty much unstoppable in any dream. When the mind find's out it is a dream, all the nightmares cease and disappear as the sub-conscious knows they don't exist. I have been through Lucid dreaming and Alpha Stage sleep. When in Alpha Stage, you are basically in between dreaming and reality, and often wake up confused or you think the dream really happened, as you can hear, feel and even smell what was in the dream. I have however, never had an OOBE, which I tend not to do. An OOBE (whole other subject) is "Out of Body Experience" in which the soul leaves the body, but always returns to it's vehicle, that being the body.
One can NEVER die in a dream. Anything you heard about that is false rumors to just scare you. You are a light source, thus cannot die. I have "died" plenty of times in my dreams, only to find myself still "alive" inside them. Nightmares can be caused by many things. The foods you eat, your thoughts and deepest fears. If you want to have less nightmares, then i suggest you eat certain food that produce less "Negative pheromones" in them, or perhaps listen to relaxing music before bed to calm yourself. It really helps if you also meditate if you find yourself being stressful or have anxiety. In other words, yes, you do have control, but very few master it and must be learned by ones self. It took me time, but I have pretty much got it down lol :3