Being scared is pretty normal. Most everyone experiences it. Think about it this way:

You are traveling somewhere you have never been, and you have no idea what awaits you. You barely know what to expect. Traveling dimensions does seem kind of crazy.(going from the 3 dimensions we normally perceive to the dream dimensions)

It makes sense to be scared I has the same feeling the first few times as well. After a few LDs you should feel like you have some better control, you can always wake yourself up!