Writing is lonely work. Sure you've got your characters to keep you company. But at some point, all that talking to yourself makes you question your sanity. All joking aside, the scariest step a writer can take is to send her work out into the world. What if it sucks and everyone tells you? What if you send it out and everyone likes it? What if there are problems. What if?
The best advice I can give is don't write alone. Don't shut yourself away and never share your work. Find other writers who share our crazy passion for imaginary people. I write both fiction and non fiction and have a network of great writers who cross both lines.
Here's a secret (whispering) we all have the same fears.