Nightmare (Xanth #6) by Piers Anthony

Although the Nextwave of barbarian warriors was invading Xanth, Mare Imbrium discovered that ever since she had gained the half soul, the night mare had begun to mishandle her job of delivering bad dreams. Exiled to the day world with a message for King Trent, Mare met the relentless, unforgiving Horseman. For the night mare, it began to be all a horrible nightmare!