Interesting thread; all good posts already.
I think what we're afraid of most is disappointing ourselves. The first tee is the most nerve-wracking because it's the only time/place where we have a blank slate; we can dream our dreams there, and hope (if we're able) for the best. By the 2nd or 3rd tee, we've come to accept the reality of whatever game we've brought to the course that day, and we live with that in the best way we can for the next 4 hours or so.
That's why those courses I'd describe (perhaps incorrectly) as strategic, the ones with 'indirect' penalites and 'unforced' carries of progressive risk-reward hazards, have the potential to be either the most rewarding or the most disheartening courses of all; when we mess up or make a big number, we only have ourselves to blame. (We have only ourselves to blame; ouch!) And with that comes the corrosive self-criticism and disapproving self-judgments. (John K - if you really want to be unhappy, try a good dose of THAT medicine).
I think the worst feeling you can have on a golf course is that of feeling foolish (for having hoped, for having tried and found that, after all, your reach exceeds your grasp, for having thought yourself better than you really are). That's much worse, to me, than getting beat up on a tough golf course, or not executing a tough shot.
I know almost nothing about popular music of the last 20 years or so (say from about the time of The Who's farewell tour, Queen, and Talking Heads) but I think there was a song that had the line: "You did it to yourself, and that's what really hurts".
Peter