Action Girl: Helen from Journey of Dreams, especially when she rescues Will.
Though it's mainly just that one scene that portrays her like that, since most scenes after that play around with her fear of the dark which causes her to lose her Ideya of courage near the end of the game.
There's also the fact that she ends up running around without NiGHTS' help quite a bit, beating up Mooks along the way.
All There in the Manual: The Japanese manuals give much more backstory than the US versions. There's also an official storybook that gives more information on the relationship between NiGHTS and Reala.
And I Must Scream: Before the Bellbridge level in Journey of Dreams, Owl warns the visitors that being tossed into the black sea that surrounds the Hub Level would most likely strip them of their Ideya, lock their consciousness in an eternal nightmare, and put them in a coma in the waking world. When they are eventually forced into the sea by Wizeman, their will and their Red Ideya manage to spare them from this fate.
Christmas NiGHTS, a demo version of the game that would be affected by the Saturn's internal clock. Considered quite the collector's item nowadays, even though it was provided for free with certain magazines.
The Steam version's title screen will go into "Christmas NiGHTS" or "Holiday NiGHTS" mode depending on the system calendar.
Clock Tower: This is the final "race" stage of Journey of Dreams, and it precedes the final boss.
After saving Will in her second dream, Helen becomes this, requiring a rescue on two occasions.
Dark Reprise: The main theme from the games gets a makeover when the player gets a game over (a more melancholy song if the time runs out on a regular level, and a Last Note Nightmare when the player loses in a boss fight). The most well-known version of all is whenever the titular character fights Reala, with the refrain of these battles is an angry, fierce reprise of "Dreams Dreams". Another instance is the first few seconds of the final boss fight in the original game.
Expy: NiGHTS hirself was expied for Sonic Shuffle, as "Lumina the Dream Fairy". On Christmas (whenever the Dreamcast's internal clock decides it's December 25), Lumina actually turns into NiGHTS.
Which is honestly somewhat reminiscent of some of the more bizarre applications of Suspiciously Similar Song, in that Sega owns both franchises and, thus, wouldn't need to make an Expy for NiGHTS...
Fake Brit: NiGHTS, Helen, Will, and Reala in the second game.
Foe Yay: invokedNiGHTS and Reala, with the latter seemingly making it a point of capturing the former every other level or so (and getting up close and personal about it).
Friendly Enemy: Sort of. NiGHTS expresses concern for Reala when the other fakes an injury in Journey of Dreams, and the two apparently chat from time to time when they're not beating the crap out of each other.
Go Karting with Bowser: NiGHTS plays tennis with Reala in Sega Superstars Tennis, and the two apparently have quite a bit of fun doing so.
Morphic Resonance: During the course of the two games, NiGHTS shapeshifts into a mermaid, a sleigh, a dolphin, a Chinese style dragon, a rocket, a boat, and a roller coaster. All of the forms keeps NiGHTS's color scheme and, in a few cases, its face.
Our Dragons Are Different: Gillwing, a gigantic boss creature from the first game, with a ball-shaped body that's all mouth, evil eyes, and wings sprouting from his cheeks, and a long thin spike-ridged tail.
Scenery Porn: Totally expected, considering who made the game. What especially makes this impressive is that the Sega Saturn had major trouble running most polygonal games, and it executes this game beautifully.
Shadow Archetype: NiGHTS is a rare positive example in fiction, embodying the positive traits of the protagonists that they've denied and suppressed due to their problems.
What Happened to the Mouse?: Reala is surprisingly absent from the ending of the second game, and the yellow Ideya is nowhere to be found. Only the latter is averted in the true ending.
It is implied that NiGHTS kills Reala during their second fight, both by the name of the battle theme "A tragic revenge" and by the fact that the first thing the player sees after the fight is dark specks flying through the air meaning Reala may have somehow exploded.