DD never had big fears. Now that she is almost 11 she has a slight fear of heights, which I think is fairly normal at this age. Her biggest fear is the Dr. Who "Don't Blink" episode - you know, the one with the angel statues that come to life. When we were looking for houses to buy, there was one house that was down the road from a nursing home that had a big angel statute in the front. I'm glad that house didn't work out because DD did NOT like driving past there.
When she was small and would come up with a new fear, hubby would incorporate that fear into her nighttime story. Let's say she was afraid of spiders, he'd tell a story where she would at first be afraid of the spiders then she'd turn around and decide to fight them, then just before she was about to win the battle the spiders would beg for their lives and explain how they really are good spiders and how they do so much good in the world and were really just trying to protect DD from those nasty mosquitoes and stuff like that. Great job, hubby! Now DD loves bugs and wants to keep bringing them into the house. Ugh! (Mommy is still afraid of bugs.)
And those stories were always "dark stories" - her and hubby would sit in the dark with flashlights to tell the stories. Being in the dark was a big treat.
When it came to lightening, we'd take her outside and sit on the big porch swing and oooo-and-ahhhhh at the lightning like it was a fireworks show or something.