To answer this question in essay form, you would start by isolating your core task. Your job in your essay is to prove that A Midsummer Night's Dream is sad, tragic, and/or a nightmare. That means that you need to review the play looking for and at those elements, and make an argument that these are the most important things in it—and that they should not be played for laughs, but should be treated seriously.
If I were starting this essay, I would look at the things that happened and what they would feel like from the inside. Imagine you were one of the young lovers—say, Helena. You're in love, but the person you love doesn't love you. That would be sad. Now, imagine that the only way you could get love is if someone cast a love spell for you (which is what happens in the play). You'd live your life knowing that only fairie magic caused your love. That's pretty nightmarish. Look at how willful Puck is. He could change things any moment. That's scary.
Being lost in the woods, having a donkey head, etc. All these would terrify from the inside.