Prologue: German Alps
After passing through the checkpoint, turn around before boarding the elevator. On the counter to your left is a key you can pick up. Do so, then ride the elevator up to the cable car. Before boarding, open the gate to your right to find some stairs leading down to a secret area. Down there is a bed roll you can use to access the first nightmare.
Chapter 1: Prison
Proceed through the chapter until you drop through a hatch into this bedroom in the sanitarium. The bed here will take you to another nightmare.
Chapter 2: Docks
Found en route to the area with two Commanders. When you get out of the boat to throw the canal switch, check the back corner of the platform for a mattress that will take you to nightmare number three.
Chapter 3: Wolfenstein Keep
Proceed through the level until you reach the large dining room. From here you, need to head to the back left corner of the upper floor to proceed. When you pass through the hatch, hop over the railing to reach a hidden area on the first floor. Down here is a nice bed by a lamp - sleep here to reach the fourth nightmare.
Chapter 4: Escape!
When you reach Annette at the tavern, head up the stairs to the second floor. The bed by the window is the path to the next nightmare.
Chapter 5: Wulfburg
This one is found when you reach Agent Two's house. Turn around from the front door and head straight. At the end of the alley is a mattress that will take you to the sixth nightmare.
Chapter 6: Ruins
The screenshot above may seem familiar, but the gate to the north has opened, revealing a new area. Head there and climb the ladder, then make a left around the corner to find a walkway. Follow this, and you'll spot a dirt old mattress on a little alley on the left. Use this to reach another nightmare.
Chapter 7: Old Town
After busting through the second door (the one after the lowered bridge), hop off the Laderoboter. Face a bit to the left from where you entered and hop into the water. By the buildings across the canal is a small alcove you can swim through. There's a little walkway in here where you'll find a mattress. Use it to reach this chapter's nightmare.
Chapter 8: Dig Site
Beyond the electrical door in the Super Soldier tunnel is a room with a few soldiers firing at something outside. Take them out (they'll all get zombie-fied, for the record), then head up the stairs to the left of your entrance. Hang a left at the top to find a hole you can drop through at the end of the hall. In this little pit is a grate that takes you to a caged area back at the tunnel, where you'll find a bedroll in a little alcove that takes you to the game's final nightmare.