Clowns: their make-up (or warpaint as I refer to it) is the furtherest thing from joyous; it's in fact very, very menacing and portrays a sense of malice to me.
Jellyfish: Got stung by a jellyfish on my 13th birthday (oh how I loathe the number 13...) and so have been conditioned to believe that, via operant conditioning, jellyfish will result in serious pain overtime I'm around them. Curse you, operant conditioning.
Open water: I'm an incredibly strong swimmer but open water terrifies me. I've never had any bad experiences with open water, but honestly, there is nothing more terrifying to me than the sense that the horizon and land will continue to be out of reach, the currents will change at a moment's notice and the various, destructive forces that exist under the ocean surface are all around me.
Heights: Not major, but seeing others look over ledges is scary.
Failure: Self-explanatory really. Any sense of failure is just horrifying.