Dave's fear was definitely caused by the fact that he had killed Sarah's son though we didn't add this in until Season 5.
Vince was the one scared of Lucy and thought his brother was too for betraying her in the 1980's. Vince had decided by then that the 'personas' were to go back into the barn every 27 years. Both him and Dave kept this away from Lucy thus the fear.
Duke was afraid of the tatoo man and Audrey Parker (both of them) were afraid of a clown.
The only one I don't know is Nathan though we saw him get scared. I do wonder if Nathan might have seen his mother since she is never discussed except that Hanson treated her poorly. Or maybe he just envisioned his Ford Bronco was totaled out in an accident...
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