I'm afraid of being buried underground. There was this piece of literature by Edgar Allen Poe that I read as a kid and just the thought of being buried alive terrified me. Or being trapped behind a wall never to be heard from again even though you're screaming at the top of your lungs. Being stuck in tight places just doesn't fly. I'd rather drown.
Another more complex fear I have I guess is the whole "brain in a vat" concept. Like you're not really who you think you are, you're just a brain hooked up to a machine that's making you have all these experiences, memories, feelings, etc. Just the thought irks me.
EDIT: I am also terrified of Nessi. As in the Loch Ness Monster. No joke.