I take heart in the fact that the actual event is almost always less painful than I expected it would be, and that I usually feel better off for doing it. I don't think that feeling ever goes away, but as I have grown older I find that I have less fucks to give, which can be a good thing.
I have really found that experience and exposure help me so much. I think I get overwhelmed by feeling lost, or that I'm in an utterly foreign environment. Going to court today was so much easier just because I'd gone to jury duty within the year before. As a result, if it's possible, I would really encourage other people who are nervous about a new thing to check out the site or building beforehand - I had a coworker who had to pick his son up from a new airport once, and so he drove to the airport and back a few days before just so he felt comfortable with the route. That's the kind of thing that I think can really help with the sort of anxiety I feel. Of course, as I mentioned, getting someone else to help you get to your destination or starting point has a similar effect.
Your comment reminded me of this picture someone made. Ugh. Hating imgur right now. Anyone recommend another easy image hosting site with an iOS companion app?