Yes I was very scared when I was pregnant. It was strange because that isn't really typical for me and the way I deal with things, so it was a bit uncharted territory for me. What helped me was finding out more about labour and how things go and what options I would have. That and telling myself that in reality I am a pretty tough chick and I can grit my teeth and do a lot of other really hard things so there was no reason why this would be any different.
But even after that I was still pooping myself. That was for a first labour though, so a bit of a different situation yeah?
Once I got into the thick of labour I didn't feel scared, I guess the job at hand was all consuming and didn't leave much head space for fear?

Sorry, not sure if I am being very helpful but I think it is something that not everyone will admit to, and I think it is useful when people are open about these things, so I am trying to be that person who is honest about feeling scared.