Nightmare Mode is the mode that was added along with The Following. Dying Light does feature co-op multiplayer, but it can be a bit confusing to get to. Like the name implies it was created to make the game more difficult for players who wanted a challenge. Find one, kill the thugs around it and take the packages inside.
Your game difficulty effects how well you get rewarded.
Prev Dying Light: The Following Guide A good idea is to start the game on a normal or high difficulty level and leave the Nightmare mode for later.