Please do not be scared. The dentist will make it so that you do not have pain though the extraction process. Although going to sleep may be a choice make sure your dentist does that. Also if cost is a factor keep in mind going to sleep may cost more. So make sure you know what are the cost factors are. If you have any insurance make sure to check if you would be covered.
Being scared is some times only because we do not have enough information about the process. I have included a great link all about the extraction process. This may help to ease your mind.