Like I said, I guess props to those who claim they would be fine after that situation. I think most people would not.
Dunno about the list of things people these days are apparently afraid of, but I value my life, so yes, having someone threaten to blow my head off would not sit well.
As for what's to be scared about... it's getting your head blown off. I like mine where it is, and also like being able to see the people I care about another day.