These horrible deathly horses are dangerous in and of themselves, but even more so for their ability to plant shift (and in the cause of cauchemars, ethereal jaunt) with riders who could otherwise not make the journey. Nightmares are most favored by night hags, but daemons, devils, powerful spellcasters, and even rare creatures like unseelie fey and divs might partner with these fell steeds.
A man with a lantern on a lonely country road offers a horserace, preferably one with a small wager attached. Then he offers a second race for larger stakes, with the participants switching horses. The man is a devil shrouded in illusions, the horse a nightmare, and anyone taking them on their offer might find herself finishing the race on a different plane.
A centaur sorcerer discovers the source of his accursed bloodline: a cauchemar with strong ties to powerful night hag twins.
A tower made of dreamstuff on the Ethereal Plane drifts aimlessly in the gray and cannot be approached by people of goodwill. The easiest way to reach it is to secure the services of a cauchemar. Breaking and bridling one by force will be difficult, and securing one’s cooperation requires guarantees of destructive sprees in the mortal world.
—Pathfinder Bestiary 216