Some people are a bit hesitant at first some people are not, that's what makes us human. The worse thing you should really be afraid of would be the possible paralysis once you wake up but that is only temporary and is only scary if you're unprepared.
I had my first LD last night and wasn't aprehensive about it even though I didn't know what would happen exactly but you can control what happens in lucidity and you are quite aware of your surroundings so I doubt a nightmare would even occur. If it did you should be able to kill/stop/erase the nightmare or at the very least simple wake yourself up.

With most LD's and LD techniques, its a confidence thing that gets most people. If you're confident it your control, you will be able to do it no problems, if you're confident you will be able to defeat/stop the nightmare you will be able to.

PS - I didn't want to do any dream recall (although I think I might now) so I just jumped in the deep end and tried out some techniques and was pleasantly suprised with the results.

Cheers