Theta waves have a frequency between 4 and 7.5 hertz, making them slower than more wakeful alpha but faster than the dreamless slumber of delta. Theta brainwaves are the frequencies of nighttime dreams and REM sleep when the brain goes through bursts of activity and eye movement. People also experience theta waves in a state of light sleep, deep relaxation, during meditation and prayer, and when daydreaming. Theta waves produce an experience of inward wakefulness where we become disengaged from the outside world while engaging in inner activity. At the lower frequencies of theta, sleeping states are experienced, and at the higher range of frequency, awake relaxed states are experienced. 
If brainwave entrainment leaves you with unwanted side-effects (see below) or discomfort, you’re probably encouraging a range of brainwaves that are already excessive in some area of your brain. The way around this is to get a brain map to see what your brain’s strengths and weaknesses are, and see what (if any) brainwaves could use some encouragement.