paulo,
I know it sounds weird that I fly helicopters but I'm scared of f/w stalls. I've always felt more comfortable with helicopter flying. I think it has a lot to do with the standard of instruction I had for my PPL(A), because I wasn't scared when I started. In fact, I remember saying that stalls were fun. I think that annoyed my instructor, and maybe he deliberately set out to scare me; I wouldn't be surprised, from what I remember of him. But I'm damned if I can actually remember what happened, if anything did.
Englishal,
Autorotations are not really frightening if taught properly, any more than stalls are. But maybe a better rotary parallel is vortex ring (settling with power, for those across the pond). Without going into great detail, it feels like a f/w stall - you get buffeting and shaking, then the helicopter starts to fall out of the sky. You recover by pushing the cyclic forward to get some forward airspeed. My first instructor got me to recover at the first signs; the next one wanted us to be actually dropping out of the sky. By then I didn't scare easily, but I'm really not sure I saw the point of leaving it as long as he did.
When I have time I ought to find a good f/w instructor and practice some of this stuff properly. But the various opinions here are very interesting.