Angels, like demons, have a singular soul. However, they also have a singular body built around that soul, which is able to cross dimensions. They are able to reshape this body to fit in with the local dominant race (unlike demons, which can also take animal forms), but only the more powerful of them, such as Arch Angels, can completely hide their true nature from view. It’s thought that an angel’s natural form is a winged and haloed humanoid composed of light.
Because an angel’s soul is within its body, the angel is capable of incredible regeneration. Powerful angels can have their body completely destroyed only to reincarnate. Angels have other protective powers, such as curing ailments of others and generating shields.
However, most angels have very limited offensive power, and instead rely on weaponry (often archaic). Given the ancient hatred between angels and demons, most weapons an angel carries will be blessed. In fact, even a normal weapon is holy while in angelic hands, though the degree of this magic depends on the power of the angel itself. Many angelic warriors carry weapons blessed by a higher power than themselves, making them more than a match for demons of the same caliber.
There are few sources of great unholy belief in the world (and people like the Templar are loath to use them), but powerful enough weapons or demons can prevent an angel from regeneration or reincarnating. Obsidian, the dark stone forged from fiery volcanoes, greatly slows down the regenerative process, though.

Angel Sightings:
Aside from in a memory of Timothy’s, there has yet to be a confirmed angel sighting.

Other Notes:
Heaven- Like Hell, there are many perceptions of Heaven and thus it stands to reason there are several heavenly dimensions. It is speculated, though, that angels originated as a mortal race with one world, then gained immense power through myth.

Lineage- Like demons, angels can breed with whatever race they take the form of (though with angels that form is more limited), but they can also breed with each other. Part angels work in the same way as part demons, mortal bodies with mortal souls but enhanced powers. Part angels often look completely normal aside from strong and beautiful features, and are also capable of becoming fully angelic, often after their own mortal death.

God- It stands to reason that given the immense amount of religions that believe in God and angels, there are several versions of God. On the other hand, so many religions believe in their god as the one true god that it might hamper this being’s ability.

Not created by belief, but gaining significant power from it, a demon is essentially a singular immortal soul, often that of a former angel who fell to corruption. Where a human soul spreads itself across countless dimensions to countless versions of that human, a demonic soul remains with one vessel upon the very dimensions the vessel walks. It is largely the presence of this soul, combined with local belief in the demon, that gives a demon power.

Demons have no true physical body, but are sometimes able to generate and regenerate bodies upon physical planes, though weaker demons might possess an existing host body instead. The body tends to look like a natural creature of the world, though distorted with fangs, claws, glowing eyes, and discoloration. When a demon’s body is destroyed, the soul is weakened slightly, its link severed, and banished from the dimension of its “death”.

A demon is usually based on a primal element over which is has some control, and can have a myriad of other powers. However, holy incantations can limit or negate demonic power and a weapon blessed by any religion that believes in demons prevents natural regeneration and has enhanced effectiveness (a bullet will explode upon contact, a sword will cut easier, etc).

Demon Sightings:

While several unclassified entities are up for debate, Timothy and Miyan are the only confirmed full-demon in the story thus far.

Bob, world traveler encountered by Fall’s team, is possessed by a 1/4th demon called Nefarious.

Other Notes:

Hell- Given the shear amount of realities, there must be Hell. In fact, there’s a myriad of versions of Hell, as different people have different views on what Hell is. Demons and Hell Spawn have an easy time manifesting is such planes, and so often inhabit them.

Lineage- It is possible for a demon to mate with whatever type of mortal animal it takes the shape of. Resulting offspring are often mortal with demonic attributes. Their powers are less than a demon’s, diluted through the generations. Because they have a physical body they often look more monstrous than their infernal relatives, who take up whatever shape fits them. These offspring still share a soul with other versions of themselves, though their own portion of their soul is capable of becoming fully demonic and breaking away. This is effectively the only way new demons are created, other than new fallen angel “recruits”, for while demons can engage in sex with one another, they can not breed

Devils are incredibly powerful versions of demons, often the original fallen angels or demons who gained a foothold in a reality, possibly being worshiped as gods. They’re presence often counteracts holy wards and weapons put in place against them unless of a significant power, such as a religious leader or artifact. As such they sometimes gain demon or Hell Spawn supporters, despite the egocentric nature of most demons.

Devils can change shape upon a will, where demons take up a suiting shape when manifesting. As such, devils can walk amongst mortals undetected by mundane senses.

Devil Sightings:

Devils have been brought up on a few occasions, but there has been no true sighting of one yet. At the height of his power, Timothy was a devil.

Other Notes:

Satan- Given the amount of belief in Satan, it’s highly probable he exists. Though because of the various views of this Lord of the Flies, there may be as many versions of him as the Hells themselves.

Commonly found in children's stories, fey specialize in stealth and trickery, and are the most potent Nightmares when it comes to magic.

Faeries, sprites, pixies, nymphs, elves, gnomes, gremlins, and goblins are just a few names for fey, who seem to come in all shapes and sizes (many can even change shape and size on a whim). While truly wicked and sadistic breeds exist, most are reclusive or shy creatures who tend to keep out of the sight of humans and other Nightmares. In fact, given the non-violent, sneaky, and sometimes community oriented mindset of most fey, it's possible that several of them slip past Templar and other human paranormal agencies and live comfortably on Earth. The Round Table, a prominent anti-Nightmare organization in Europe, claims to have found fey that have been living deep in woods and mountains since before Y2K.

Because all fey maintain some tie to nature (talking to plants and animals is another common trait for this race) they used to be warded off by “cold iron”, or a type of wrought iron which was one of the most advanced forms of metal in ancient times. While various man-made plastics and metals are in production today, cold iron remains the weakness of fey. Fey do not possess any supernatural toughness like most Nightmares. Instead their ability to change shape and disappear, along with incredible speed, makes them nearly impossible to strike or capture. Cold iron works almost like a magnet against fey, who are repelled by it if set up as a ward and are drawn to it if used as a weapon. Contact with cold iron causes paralysis in fey, making them easier to capture or kill.

It's possible to defeat a fey with whit alone. Several follow strange codes, and knowing a fey's code can allow one to banish it, or force it into some form of servitude.

Fey Sightings:

Ra is a gremlin and the Templar bus driver. Its mastery over machinery lets it push its vehicle to impossible limits.

Spawn are the most common form of Nightmare and typically pose the least threat as individuals. This weakness, however, is compensated for by the fact that Spawn almost always travel in packs.

Spawn are soulless creatures forged of raw belief or emotion, the creative energy of thought fueling their existence. Naturally, spawn are drawn to areas strong in the belief that created them.

The typical spawn behaves like a violent animal, and typically has abilities along the same lines, though it may take form and act somewhat in accordance with what created it. Rare specimens of powerful individual spawn exist, and it is thought that these are created when the beasts consume each other. These evolved spawn might possess greater abilities.

Spawn are weak to amethyst stone, which is often used in dream catchers. Proximity with the stone causes a spawn pain, and exposure typically results in immolation. Breeds of spawn created by faith are subjectable to other weaknesses, such as Hell Spawn which are affected by holy objects.

Spawn Sightings:

When David Shizukana entered the basement of the Riverside Hospital he was stalked by small predatory spawn, possibly Grief or Dread Spawn drawn to that hospital for its past and present.

Kyran was able to summon Hate Spawn, possibly because reality was already damaged and performing such a summoning was easier than in the world he came from.

Greek for “beast”, a therian is more commonly known as a lycan or a werewolf Though these terms encompass only the wolf versions of this Nightmare. Therians range from literal were-creatures (therianthropes, or humans who turn into beast-like monsters) to Nightmares of a singular, beast-like state. They can be intelligent, or they can act on instinct, but all therians have animalistic attributes.

Most therians have little along the lines of flashy supernatural powers, instead possessing animal traits (like keen senses) and incredible speed, stamina, and strength. They can, however, regenerate wounds when given time to rest and eat, and the transformation of a were-creature is indeed beyond the realm of physics.

Few spells can hold therians like they can other forms of Nightmare, for Therian are often little more than powerful animals. It's even guessed that therians have a minute resistance to magic in general. The best way to take down a therian is with silver, which not only burns upon contact and prevents regeneration, but acts as a sort of poison that confuses and slows down the creature, killing it if not removed in time.

Therian Sightings:

The Watcher, a creature that works for the Templar, is a therian. He's much calmer than most of his kind, and even exhibits some sort of magical powers. It is thought that he is a type of Cheshire Cat.

Recent Templar agent Thomas Dearnaley is a werewolf, able to shift from human to hulking beast-like monster (and anything between).

Icar unleashed a Gargoyle, a race of therian, upon a hotel full of civilians. It managed to kill and infect most of the hotel guests and staff before killed by Alexi and her team.

Other Notes:

Infection- It is said that to be bitten or killed by a werewolf means you'll become one. This is not always the case, but certain types of therian, particularly therianthropes, can spread their “curse” in such a way while other forms of therian can breed like any other animal. Descendants of therianthropes might also share the condition, though it could be diluted depending on the exact type, and not enough time has passed since Y2K to gather sufficient statistics on this theory.

Full Moon- As with infection, the common myth of a full moon forcing transformation or granting power is true to some types of therian, but not all. Therians are a diverse type of Nightmare, after all, and share very little common traits.

From the lingering spirit to the magically animated zombie, undead are quite simply some remnant of a dead mortal. There are basically two classes of undead, Master and Thrall. Master undead have kept some form of awareness. These creatures might have full memory or their life, or could have lost it completely. They could be sane and in control or, more likely, driven to madness. But all Master undead are capable of rational, independent thought on some level and still maintain a wavering link to their soul. They tend to be much more powerful than Thrall undead.

Thrall undead are mindless creatures often controlled and/or created by something else. They have no connection to their soul, being little more than objects, and if their creator is destroyed they either perish or act according to some base instinct (from wondering aimlessly to following their last order to attacking anything that moves).

Undead are susceptible to a variety of spells and incantations, and have more common enemies too. Sunlight weakens undead, slowing their movement and, in the case of master undead, clouding their judgment. It’s even lethal to a few breeds. Garlic is another effective weapon against undead. Direct contact with garlic reacts acidically to undead bodies and causes great pain, an experience most undead have forgotten. In the case of ethereal undead, such a phantoms and ghosts, garlic might not cause physical harm but still hurts as it passes through them.

Undead Sightings:

Visage is a powerful Master undead. He can create Thralls by absorbing the blood and meat of a corpse and shaping it into his minion.

Orion Gates is a zombie that works for the Templar. While his corpse is rotting and he has minor cannibalistic urges, he is a Master undead, unlike most zombies.

There is a myth amongst the public that Old Celmond is haunted. Other than Orion we have yet to see any such creature in the place, but given the fact so many people died there and that people believe in it, it’s possible.

Other Notes:

Ghosts- Not all ghosts are undead. The type that is is typically a portion of a mortal soul that didn’t pass on when its body was destroyed. These tend to be self-aware, though they might not be aware of their situation and are often driven into insanity. There are also psychic imprints left from traumatic situations. These are not sentient spirits, but single experiences, feelings, sounds, or images left behind. Some people can pick up on it and see or hear the “ghosts”.

Infection- It's not uncommon in lore and pop culture for those killed or wounded by the undead to rise again as the undead. This is not always the case, and when it is, tends to be with Master undead like vampires for they can not breed any other way. The common zombie, being created intentionally as little more than a tool, does not always transmit its “disease” like in the movies, though.