My worst generic fear is when you get into a fight that you know you're going to lose for the sole reason that you are the wrong class/character etc. It really pisses me off, for example, when I get killed by a shit spy as a sniper, or a shit soldier as a pyro (both from TF2) just because they are my anti-class.
Scariest moment of any game, however, was in Eternal Darkness (on the GameCube), when I went to inspect a bath to see if there was anything in it. From what I saw before inspecting it, it looked empty, but when I inspected it the bath was full of blood and I saw my own character lying in it, dead. Man... that game properly fucks with your mind.