Which of these has nightmares as a side effect? oxycodone, percocet, celecoxib, or diazepam(valium)?

Hard to Say: Side effects of most medications are turning out to be highly individualistic and sometimes based upon genetic susceptibility! this is fairly new research. But, it suggests that any specific side effect is not necessarily going to happen to you. That said, with the exception of celecoxib, these drugs are narcotics and/or sedative/hypnotics and can cause "dysphoric" feelings and hallucinations.