I had an engine failure on one of my last solo sorties before the test whilst training in Florida. Well, to be more precise, I lost about 80% of the engine power, accompanied by massive vibration. At full throttle I was descending 300ft per min.
Fortunately I was close to an airfield I'd just departed from (around 7 miles away) so I limped back and landed on the first available runway (not the R/W in use) as I had not time to join the (thankfully empty) circuit.
Turned out to be that a cylinder had detached from the engine block. The engine died completely just before I crossed the holding point on the taxyway after landing.
A scary experience but one that I would say is very rare. At 43 hrs in the log book, I certainly wasn't expecting to have an engine failure so soon! But my PFL training had been very recent, so my practice was very current (can't say that nowadays....
).
As has been said, the training will give you the skills to handle the situation. Practice will ensure you know how to use those skills when called upon. A typical light a/c will glide quite a distance without an engine, so provided you follow the training your chances of walking away from an engine failure are very high, I would say. Since the chance of having a failure in the first place is very low indeed, it's not something to worry unduly about.