Dream Mimicry – The being is composed of the substance of dreams.
The Sandman oversees the Dreaming which is filled with living dreams and some of them absconded while he was absent (Sandman #1).
Brute and Gob are rebellious dreams that created their own dream realm (Sandman #3).
The Fiddler’s Green is a dream that a place and a person (Sandman #7).
The first Corinthian (Vertigo) is a living nightmare that was destroyed by the Sandman (Sandman #5).
Merv Pumpkinhead is a dream in charge of construction and demolition in the dreaming (Sandman Presents-Merv Pumpkinhead-Agent of Dream).
The Dungeons and Dragon universe has several living dreams including the Dream Wraiths (Creature Collection II. Dark Menagerie), Dreamfolk (Creature Collection II. Dark Menagerie), and the Dreamwrack (Creature Collection II. Dark Menagerie).
Feyr – TSR 2140A Monstrous Manual
Nights into Dreams #1&2 (Archie)