There are many reasons it is so frightening. You're success or failure is a reflection on no one other than yourself. You are using your own money to try and get this up and running, not some corporation you have no personal attatchment to. What if no one likes my product? Worse than that...what if no one BUYS my product. Scary, right?
Many people who haven't ventured into the unknown yet and followed their dream of working for themselves let the fears of these things overpower them. They wish they could do what they love, but are stopped by fear.
My advice : There will ALWAYS be fear. There is always a reason not to try something. Trust me, you're not the only one who has those fears! We all do. You just have to overcome them and persevere.
Take that leap you've been afraid to take! (In any aspect of life, not just business) Sure, it can and probably will be scary. But if nothing else...you can say that you DID IT! And won't that feel good?
"We gain strength, and courage, and confidence by each experience in which we really stop to look fear in the face... we must do that which we think we cannot."-Eleanor Roosevelt