I have dealt with a wide arena of investigators of many studies from ancient mysteries to Bigfoot, ghosts to UFOs. As most of what we study is up for conjecture, so are the outcomes. Ghosts could be good or bad, they could be spirits of the dead or something in the natural world, could be made up by our minds or something other dimensional. With this many possibilities, you can see why it's hard to tell whether to fear it or what to fear.
As I carry no personal belief in demons or possession, in all the decades of my life, I've never encountered such things. But, another who does believe in these things, might have concluded they encountered it several times.
It's not even a matter of who is right or wrong, as we still have yet to prove the paranormal. So, for now it's in a murky place governed by our upbringing, religion, the media, and our personalities.
As we are the interpreters of our situations, what we have to fear from the unknown are our own deepest fears and interpretive skills. When something occurs, we register it and then we interpret it. What we tell ourselves about that event and its meaning creates a reaction, an emotion. And that emotion creates an action.
For instance, a researcher enters a mortuary (situation). His mind imagines what went on there and his own fear of death. He wonders what would hang around a place of death, perhaps something dark or bad. Was it waiting for a person to enter so it could have someone to torment? (interpretation/self explanation) He sees a shadow. He hears a sound. He smells a bad smell. He is certain it is creeping near. His skin prickles, his senses are keen, and he can imagines himself rushing from the building. He feels a rising terror and threat. In response, he takes on a defensive stance and runs for his life (action/reaction), heart beating, door clanking as he escapes outside.
Sensory input with interpretation becomes emotion that creates an action.
I, personally, enter as an archivist. I don't believe anything can hurt me other than perhaps a spider bite. I watch and listen and wonder at what happened in the past, but I in no way think that it is happening now. If a ghost could hurt me, we would have all been screwed long ago. Much evil has left his world but it is helpless against the living, unless we believe it can hurt us, and then were are likely to react as the person above. He likely felt that he barely missed some awful fate. But, he will never know because he did not stay to face his own fears and question them.
The things to fear are what people believe the paranormal is capable of and what they are willing to do in reaction to that. Just look at all the cases of children being killed during exorcisms or those out brandishing guns against Bigfoot that put the public at risk by their hysteria?
You won't see me ever run from a haunted location or a UFO sighting or even an encounter with Bigfoot. I am an archivist, and I'm meant to stand my ground and observe. If I don't see a covert sign of aggression, I am not going to run.
On one case, I went into a haunted location that was male dominant with posters of bikini women on the walls and lots of testosterone.
I spent the EVP session thinking bad things about men in order to see if it might elicit a reaction. I felt a sudden burning sting on my leg. I lifted my jeans pant leg and saw three scratch marks.
Even though my partner wanted to leave because I was hurt, I remained. I continued my thought process about men. My reasoning was, it could have been coincidence. If I left then, I would never know.
Within a few minutes, I felt the sting again. I lifted the jeans and saw three more scratches above the other three, these beading with some blood.
I was pleased. I proved what I needed to prove, that something could understand my thoughts and react.
Now, I've been scratched by dogs a hundred times and I never think of it as evil, or dangerous. At times, getting attention from our world is not that easy and to be able to produce a scratch is impressive.
The answer to "what do you have to fear from the unexplained?" is... your beliefs, influences, and interpretations regarding what it is capable of.