Not on sertraline at the moment, but have been in the past and it gave me horrendous nightmares with cold sweats. Made me really miserable and I felt like I was starting to lose my mind. I stuck it out for a while, but didn't really experience a lot of benefit from them and the disruption to sleep was making me feel even worse. People have very different responses to antidepressants though, and side effects can take a while to settle down. If the nightmares are difficult to cope with or you find you are feeling worse talk to your doctor about your options - there may be another antidepressant or anxiety med you can try, or other treatments available.
Also, even if sertraline is not for you, don't give up on finding an antidepressant that works - it was about sixth time lucky for me, and it has made a massive difference with managing my depression.
Hope this either settles down for you or you find something else that works. Nightmares are a horrible experience. Let us know how you are doing.
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