I felt exactly the same way. I had never not had a job since finishing high school as wll. Then it dawned on me that I was leaving a really good job I'd worked so hard for!!
I'm not taking maternity leave either. I knew I could get a job in the industry again quite easily, but it was still very emotional. For me I suppose it was the unknown, with new jobs you get nervous, but you still have a fair idea of what to expect, but with quitting your job to be a stay at home mum, that's a different story. Training the new girl to do MY job was very hard, at the time I felt like 'why train her, this is my job' but once I had actually left, it got better in time. I've been finished for almost 4 weeks, and I absolutely love it now. The free time on my hands, being able to spend my days doing what I want to do, I definitely wouldn't go back!! People were often telling me that I'll get bored finishing up so early before bub is due, but it's the total opposite. Some days I feel like there's not enough hours in the day. I do miss my job, but knowing that I've given it up to become a stay at home mum is all worth it.

Hope that helps & you feel better once you've actually finished up
Jodi