During an interview with IGN, Doctor Strange director Scott Derrickson advised he was hoping to bring the villain Nightmare in for a sequel. Nightmare is the ruler of the Dream Dimension that humans visit when sleeping:
His idea for a Doctor Strange sequel: “I really like the character of Nightmare and the concept that the Nightmare Realm is a dimension. […] That’s early – that’s like the first Strange tale. I think that’s in the introductory episode of Doctor Strange, and I always loved that.”
Why Nightmare wasn’t used for the first film: “We decided not to do that because that’s a bit of a complex idea to try to introduce everything we do introduce and introduce the idea of nightmares themselves as being a dimension. I hope somewhere down the line we do get to explore that because I think that’s super cool concept.”
It should be noted that no sequel to Doctor Strange has been confirmed, but the master of the mystic arts will return for Avengers: Infinity War.