There was an animated short about some guy who kept waking up, starting to go about his daily routine, and then would realize that he was in a nightmare, start screaming, and then "wake up" all over again, each time progressing slightly further in his day before the screaming started.
The last sequence (where he actually is awake) has him standing outside his building, screaming his lungs off because he can't see a single person. (Of course, that's because they were all hiding behind the other buildings nearby, specifically from him.)