It is not unusual for side effects to be unusually pronounced when first taking prazosin. You have only been on it a few weeks, usually 4-6 weeks is needed to establish efficacy. Don't discontinue taking this med, although I understand it is causing you some anxiety. It is causing some changes in the way blood flows through your circulatory system and brain.....not unusual for vivid dreaming to occur. It should subside.
This is a very safe medication; we even give it to children with great success.
If you really feel that concerned, please call your doctor or try too see him. Try to keep it up, however, you should have good results.
A calming bedtime routine (warm bath, candles, etc.) might help you relax and feel less anxiety.
Let us know how you are doing.