In King Worm we see that...King Worm has trapped Finn and Jake in their dreams. In their dreams, if they aren't careful they might summon their worst fear.
Along the way they find the Ice King, being chased by a Giant Penguin Monster
I really did it this time! They're loose and they're coming for us!
I'll put this here, just to scar you for life
No one else they encounter in the dream is able to summon their fears.
Does this mean that the Ice King is/was dreaming too?