If you are intending to say that the bad days are gone, you should use the first sentence. "Were" is the past tense, indicating that the nightmare is a thing of the past. The speaker has gotten over it.
In another context you might be able to use "had been a nightmare" which is the past perfect tense. This also indicates that the nightmare is over.
If you wished to say that the emotional trauma of the nightmare remains, even though the events causing it are in the past, then you should use the second sentence. "Have been" is the present perfect tense. It describes something which happened in the past and is continuing into the present.