I have Arachnophobia (spiders), Hemaphobia (blood), and Brontophobia (thunder storms).
The reason for the spiders is because when I was little, my brother always picked on me, so one day, we were playing in the backyard and there were tons of big spiders there and there was a larger web right beside our sandbox, so my brother thought it would be cool to push me into it...I ended up getting bite not even a 1/4 of an inch right by my eye. I ended up in the hospital for 4 or 5 days because it got so bad and swelled enormously.
Blood, because the smell and texture and just the color makes me sick, I can stand a little cut on myself, but if it's more then that, I get sick.
Also when I was little, my brother locked me out of the house one night and my parents weren't home, and it started raining and thundering and lightening outside, I cried so hard that night and ever since then, I've hated thunder storms.
I agree with Mitch, you gotta face them head on, in small amounts at a time. If not, then you could get traumatized even more.