This always happens to me. First off, I used to work in nursing homes, and whenever someone died, I would always have a dream about that person. Not even that they died, just they were a significant part of my dream. Even when I was on vacation in chicago for a week and someone died suddenly at work, I had a dream about them. Weird.
Onto the family stuff. I keep having dreams where I'm going somewhere with or being visited by my grandma or aunt. Sometimes both. But my aunt has been dead for 14 years, and my grandma for 3 years. Usually these dreams are not scary, its just perfectly normal in dreamland to go shopping with the dead. And I know they are dead in these dreams, but it's not weird. But every once in a while I will have a dream where they are gross and corpsey, and it IS scary. It's like I'm somewhere I shouldn't be, or else they are. Sometimes they will warn me about stuff, or tell me to "take care of myself" they don't wish me any harm, but I go to hug them goodbye and they are skeletons!
Another time, in a totally isolated incident, I was visited by "extended" family (as in from the 1840's). This was right after I had my son, like everyone was coming to see the baby. I had the most horrible chill in my spine, so bad it woke me up, but I was paralyzed and could hear people talking about my baby. This was terrifying, but that's the only time that has happened.