Lost in Nightmares was the first story-related Resident Evil 5 DLC. Capcom aimed to create a nostalgic return to the mansion of the original Resident Evil, and I truly believe they've succeeded.
From the very start, we see a classic partnership -- Chris and Jill, characters we all know and appreciate. And even though Capcom is no expert with dialogue, it would almost seem that these two have some sort of chemistry that doesn't expose the poor voice acting found elsewhere in RE5.
The atmosphere is good. It's dark, both in terms of mood as well as actual brightness. This is especially true once the lower levels of the estate are reached. The music also greatly helps the horror atmosphere.
The survival aspect of survival horror is also underscored here. We are faced with a few solid puzzles, limited weaponry and ammunition, and limited herbs. All this is creates game-play with less action, which is a nice break after all of RE5 (assuming you played the main game before this DLC).
Also, remember that the story is important. The events of Lost in Nightmares elucidate much of the background story prior to RE5.
Overall, there's a ton of great stuff here. It's like a big REunion -- Wesker, Chris, Jill, and a mansion.
All I can think of is that it's a bit short. Now I realise it's a DLC, but perhaps the game-play and setting was so marvellous and was such a breath of fresh air that it left me longing for more after the 30 minutes or so it takes to complete it...
Only some of the things that plagued RE5, like the AI... But even that wasn't too bad, to be honest.