TV/movies can definitley contribute to nightmares. As can OT and OS. Big changes or stress about something can also bring on bad dreams.
I'd (if it were me) limit tv and stop by 3 pm or so. Lots of outside play, and lots of calm before bed with a long wind-down...books, quiet cuddles, etc. During the day, maybe you can get him to open up about the dreams...if he says "Oscar the grouch is chasing me" you can say "Hmmm...well, maybe in your dream, you could turn around and say 'Hey you grouch! Are you following me because you know I'm going to the park? Come on you silly grouch...let's play!' Try to make him laugh about it if you can, always validating his feelings, but showing him also that he can try to direct the dream, kwim? "You were crying for milk in your dream? Did you know that in your dream, anything can happen!! You could snap your fingers and *poof*...milk appears!"
As for what to say, just tell him it isn't real, that you're sorry he feels firhgtened, comfort him and validate him. It's important (imo) not to say "There's nothing to be afraid of" or things like that...that can sound confusing to a lo, because to them, there sure IS something to be afraid of! Let him know you're there for him...and that even though it can feel real, it isn't. Because look...you're here and I'm here and everyone is safe and sound.