I didn't bother reading all the replies because im tired and woke up not too long ago, and while im sure a lot of people told you theres nothing to fear because its just a dream, ill reinforce that....through the power of example!

I had a lucid dream last night (a few hours ago) and i was in an unfamiliar bedroom, it was dark outside and there were shadows watching me through the windows, then there was also a shadow that extended on the floor in front of me, a somewhat alien shape and it had an odd high-pitched laugh. I was terrified and first, but then rmembered i was dreaming and said "come in here ill knock your ****ing teeth out", needless to say it ran away

So, in conclusion of my lame story, you've really just got to try and "remember" that youre lucid when you get there (i cant tell you how many times ive forgotten, or just said "meh, im too tired to do stuff in this LD", or weird things like that), because if you remember your lucid you can come face to face with these fears and try to find out what you're subconscious wants to tell you, or if you really want you can just spin yourself to a happier place, whatever floats your boat.