Fear itself is an escape response to life. We've all been afraid. In those moments, as if by instinct, we either ran away from or got angry at whatever we were afraid of. We wanted a way out. If we prayed, our request was likely a request to make it go away.
This seems to make good sense. But what are we really asking? Generally our fears have an object or a source. An example might be job loss or being diagnosed with a serious illness. What would it mean for God to make the fear go away? It seems we tend to think in terms of finding steady employment or being healed of disease. Then we wouldn't be afraid.
Sometimes we are afraid of being afraid. In these times the object of our fear is hard to put a finger on. To ask God to make it go away sounds even more reasonable than with the more specific fears. It may be that God in his mercy does exactly that. Jesus spoke to the waves and calmed the sea relaxing the fear that gripped his disciples.
I believe more often God has a different solution to our fears. Reading your bible from front to back you'll notice that God speaks in terms of relationship. He says that he is our God and we are his people. And when addressing the fears of his people he tells us that he is near. He says that he will be with us. God told Moses that his presence would go with him as Moses prepared for a very frightening mission (Ex. 33:12-16).
Instead of making the fearful thing go away God promises to be with Moses. In a very interesting statement about temptation God says that he will "provide the way of escape, that you may be able to endure it" (1 Cor. 10:13). When he speaks of a way of escape we expect that he is about to promise exactly what we're after. And then there's another phrase which qualifies the escape. This speaks of being able to endure the temptation. Endurance in this sense means he will enable us to face and live through the temptation without giving in to it. Considering the potential danger of attempting to rescue God's people from enslavement in Egypt God promises his presence to calm Moses' fear. Yes, in fact, God did eventually remove the thread of the Egyptians but there were plenty of scary moments before that happened.
The relational answer God provides for our fear is Jesus Christ. He is Emanuel which means God with us. In the spirit of "that you may be able to endure it", Jesus our Shepherd wants us to know him and his presence. The desire of Christ's heart is that we as the sheep of his pasture would become so reliant on him that we would trust him. His purposes in our suffering may be many. but one thing we know in our suffering with fear, he is training us to trust him. Scripture says that afflictions happen to "make us rely not on ourselves but on God who raises the dead" (2 Cor. 1:9). Trusting Christ and believing in his presence we can walk through the valley of the shadow of death and fear no evil (Ps. 23:4). When we're afraid we reach out to Christ in faith, calling on him to confess our longing to know his presence with us (Acts 17:27).