Nightmare Diary/guide

Blade
Enter the gray door. Go south-west and talk to the NPC with black hair and green headgear. There's a chance you'll be given the effect.

Shadow
Enter the red door. Go north-east and talk to the Ketsueki look-alike.

Raincoat
Enter the black-and-white door. Go south-west and interact with the ghost in the raincoat.

Wings
Enter the cream door. Go right to the next area. Go north past the flowers and interact with the angel.

Blood
.

Formal Wear
.

Lights
Enter the static door. Go south and enter the path beside the corner-right path, which should teleport you to a bridge. Interact with the NPC covered in lights.