The faces of the cookies he's wronged come back to taunt him.
On the one hand, Cookie Monster's dream has be to recognizable as a nightmare; on the other hand, they can't make it so scary that it'll give kids watching nightmares. I think they strike a good balance between silly and creepy. In any case, I appreciate the fact that Sesame Street is willing to, if not embrace the dark side, then to at least acknowledge it.
Is there anything funnier in the world than Cookie Monster saying "yum, yum" while snoring? I doubt it.