Small bugs and drowning are two that come to mind immediately. I'm not very good with boats, especially smaller ones that rock on the waves, since I've had a few experiences of nearly drowning as a kid. I've never really learned how to swim and the thought of ending up in the water, especially the vast ocean terrifies me.
Being lost or away from home late at night or in the cold is also one I've tried to get better at. I love being out at night as long as I know where I am and how to get home. Since the public transportation is so good back home, I'd be able to easily get to a train station wherever I was. Somewhere I'm not familiar with, though? It's incredibly easy for panic and those kinds of thoughts to come in. Stuff like "I'm going to be out in the cold all night" or "I'm never going to be able to find my way home". I have a very big appreciation for public transportation networks.