Tony: 

Tony would wake up, but he never scream. Somehow through, you always knew when he needed your company, and as soon as he would wake up from a nightmare (normally having to do with New York or the Mandarin or something else along those lines), you were there, arms ready for a hug, ready to listen to whatever he had to say. 

You were also ready to start swearing if one of his armors showed up. 

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Steve: 

Due to his PTSD, he had nightmares quite often. Normally you knew because he would wake you up muttering the words 'Bucky, Peggy, Skull' and 'Hydra' in your ear, so you weren't surprised if he jolted up a few moments later. He would never talk through, just pull you close to him and stare off into space, rubbing you comfortably as if you were the one who had just woken up from a terrible nightmare. As much as you wanted him to talk, you knew he wouldn't , so you just laid in his arms till one of you fell back asleep. 

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Bruce: 

Since Bruce rarely slept, it was hard to comfort him if he had a nightmare. Those rare times he did come to bed however, he was very careful not to wake you. You always knew he had a dream having to do with the Hulk however, because you would wake up with a wall of blankets and extra pillows between the two of you. It pissed you off, but you knew Bruce was stubborn when it came to the Hulk. He would do anything to protect you, even if it meant no midnight cuddling. 

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Thor: 

Being a god, dreams (even nightmares) didn't scare him, but you knew he still had nightmares. You knew this how? Because every time he had one, you would wake up not being able to breathe. Which lead to you punching Thor's arm till he felt it and woke up, allowing you to breathe once again. 

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Clint: 

The first time Clint had a nightmare when you two were together, Clint woke up and blew something up with his arrows. Which lead to a huge disagreement about why he needed to sleep with those things, and what would happen if he didn't.

So now you knew Clint had a nightmare when you heard something shatter or you got hit in the face with his bow. Through you always made sure to comfort him first before you cussed him out for breaking a vase or something. 

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Vision: 

Vision didn't have nightmares (you weren't sure he had dreams) but whenever you woke up screaming, he was ready to tell you the chances of whatever you dreamed about actually happening. Sometimes he lied about the numbers (especially when it had to do with him or the Avengers), but you still found it comforting when you had a dream about Pacman trying to eat you and Vision told you there was absolutely no way that could happen. 

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Spiderman: 

Peter had a habit of jumping up, and either landing on the ceiling or just normal jumping  causing you to fall on the ground. Which caused both of you to laugh hysterically at him in a hero pose in his underwear, and you on the floor like an awkward turtle. It quickly died down through, and you listened to his nightmare (normally about Uncle Ben, Sinister Six, Gwen Stacey, or many many other things) before cuddling back on the bed. 

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Loki 

Loki didn't have nightmares. And he was no help when you had them. You could have a dream about Tony becoming Pacman and trying to kill you, or have a dream where Hydra shot him in the back of the head, and he would wave it aside, saying mortals are too weak minded, and that you needed to stop worrying because you had him. This normally ended with you cussing him out, or him sleeping on the couch. 

Normally the second one. 

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Bucky 

Despite therapy, his nightmares were still pretty bad. You would always wake up with him gone, and he normally wouldn't show up for another six hours. It broke your heart that you couldn't help him, but Steve assured that you did. Through you missed him terribly whenever he left, he'd come back with flowers, chocolates and ready to cuddle and watch your favorite show no matter what. Not the comfort you wished you could give him, but it was close enough