A nightmare is about the size of a light war horse.

A nightmare can fight while carrying a rider, but the rider cannot also fight unless he or she succeeds on a Ride check.
A nightmare?s natural weapons, as well as any weapons it wields, are treated as evil-aligned for the purpose of overcoming damage reduction.
Flaming Hooves (Su): A blow from a nightmare?s hooves sets combustible materials alight.
Smoke (Su): During the excitement of battle, a nightmare snorts and neighs with rage. This snorting fills a 15-foot cone with a hot, sulfurous smoke that chokes and blinds opponents. Anyone in the cone must succeed on a DC 16 Fortutude save or take a ?2 penalty on all attack and damage rolls until 1d6 minutes after leaving the cone. The cone lasts 1 round, and the nightmare uses it once as a free action during its turn each round. The save DC is Consitution-based.
Because of the smoke it gives off, a nightmare has concealment against creatures 5 feet away and total concealment against creatures 10 feet or farther away. The smoke does not obscure the nightmare?s vision at all.
Astral Projection and Etherealness (Su): These abilities function just like the spells of the same names (caster level 20th); a nightmare can use either at will.
Carrying Capacity: A light load for a nightmare is up to 300 pounds; a medium load, 301?600 pounds; and a heavy load, 601?900 pounds.
SEE WIKIPEDIA ENTRY: Nightmare

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System Reference Document -> List of Creatures (SRD)