What does Macbeth complain is acting to "shake us nightly"?    

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Macbeth is telling his wife in Act III, Scene 2 that he is having "terrible dreams" which "shake us nightly." By "us," Macbeth is referring to himself in the manner of monarchs. His wife is unhappy, also. The Macbeths have achieved what they hoped to achieve, but they are not satisfied, mainly because of the witches' prophesy that Banquo would be "not so happy but much happier" than Macbeth because he would be the sire of a whole dynasty of Scottish kings. Macbeth has already made plans to have Banquo and his son Fleance ambushed near the castle on their way to the banquet, but he doesn't tell his wife about that, partly because he is not completely sure the ambush will be successful, and partly because the audience already knows about the ambush and it would be redundant to go over it again.

Lady Macbeth's unhappiness seems to mirror her husband's. She tells herself before his arrival:

Nought's had, all's spent,
Where our desire is got without content.
’Tis safer to be that which we destroy
Than by destruction dwell in doubtful joy.

This is like saying we have wasted all our money if we buy something expensive and then find we don't like it. She seems to be suggesting that it is better to be dead than unhappy with what we have acquired through killing someone else. Her husband echoes the same ideas when he tells her:

We have scotch'd the snake, not kill'd it.
She'll close and be herself, whilst our poor malice
Remains in danger of her former tooth.
But let the frame of things disjoint, both the worlds suffer,
Ere we will eat our meal in fear and sleep
In the affliction of these terrible dreams
That shake us nightly. Better be with the dead,
Whom we, to gain our peace, have sent to peace,
Than on the torture of the mind to lie
In restless ecstasy. Duncan is in his grave;
After life's fitful fever he sleeps well;
Treason has done his worst: nor steel, nor poison,
Malice domestic, foreign levy, nothing,
Can touch him further (Act III, Scene 2).

Act III, Scene 2 seems intended to establish Macbeth's strong motivation to dispose of Banquo. His wife's concern about Banquo mainly augments her husband's and gives him someone with whom he can discuss his feelings. The first two acts of the play led up to the assassination of King Duncan. Now the play must proceed with a new motivation, which will lead Macbeth into deeper waters. He is on his way to becoming a tyrant, and it is his tyranny much more than his regicide that will lead to his downfall. The English king will send an army of some ten thousand men to Scotland to overthrow Macbeth because his misrule of his country is creating serious problems for England. The English king is more concerned about restoring tranquility in both countries than restoring Malcolm to the Scottish throne as the rightful heir.

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