As a severe claustrophobic, being encased in any kind of enclosure that was so tight I could barely blink. Just as bad would be being stuck inside a box in which I could neither fully stand or lie down.
Walking stick bugs.
I used to be scared of walkingsticks when I was young, but they are actually quite harmless. See?
Bats.
Those horrible, furry, bloody-thirsty bugs of the night.
gigi nailed it with the House Centipede. Me, I LOVE bugs, and slugs make me excited (though I would never eat one, I would rather take it home as a pet), but House Centipedes are the evilest creatures in all of creation. The first time I ever saw one, I was convinced that 1) it was not of this earth and 2) it hated me.
If someone came anywhere near me with mold, Julia would be a goner. I’m also not partial to being disemboweled.
ETA: The Only Sane One:
<Susie Derkins>
BATS AREN’T BUGS!!!
/Susie Derkins
Eyeball trauma, especially needles. Gives me the shakes just typing it out.
That Temple of Doom bug room… sorry, Julia. Or just plain old giant Southern roaches. See, YOU have roaches because you’re a disgusting housekeeper. WE have palmetto bugs because they come in from the outside.
Cenobites
The wooden ice cream paddles that people sometimes use to eat ice cream. Bring on your bugs, your snakes, your birds, whatever, but DO NOT make me watch people eating with little wooden ice cream paddles.
I will confess to ANYTHING.
Another nomination for Cockroaches.
I live on the Gulf Coast; my home is a fortress of cockroach-deterring physical and chemical barriers.
It still warms my heart to know I’m not the only one!
Fire ants.
Someone threatening to poke me in my belly button.
Anyone. For any purpose. It could be Jennifer Connelly, telling me that she’d be my very sex slave, and Julia would be free, too, if only she could poke me there, once, and I’d still cave. I have an absolute horror of it. I’ve got a near pathological fear of heights, and I think I’d rather do a parachute jump than have someone poke my belly button.
Lionne, I don’t like fire ants. Hell, the last time I got bit by some I ended up swelling rather alarmingly. But I’d still rather have them poured on me than have someone threatening to touch my belly button. (Of course, if you threaten me with fire ants in my belly button, I’d wig out completely.)
Those GIGANTIC fucking bees they have on the East Coast. You know, the big fat ones. You only see one or two every few years, IIRC. Not “Texas Bug” big, but big enough. (It truly is amazing how much bigger the bugs are in Texas.)
Any number of insects and creepy-crawlies would certainly cause me to give up Julia.
But none of you are thinking outside of the box.
If you really wanted to break me, threaten my daughter’s life. Given the choice I’ll betray my country first.
Understandable, everyone knows that if you play with your belly button your arse falls off. 
Is that what those fuckers are called? GAWD I hate those things. Spiders, centipedes (house or otherwise), cockroaches, most bugs give me the jimmy jams.
They’re going to put termites on me, Julia! Termites!
So basically we’re just a bunch of scaredy cats.
Frightened of teensy bugs, most of which are harmless, and even wooden ice cream paddles…now that’s gotta be the weirdest of the lot.
O’Brien: “Right Annie, you’re gonna get the ice cream paddles”
Annie: “No, no, not the ice cream paddles, do it to anyone but not the ice cream paddles”
O’Brien: “Jebus but aint you the soft bugger?”
Well, the single creature, or at least class of creatures, that was sticks out in my memory as being mentioned often were centipedes. And while they’re not really dangerous to humans, it’s a bit of a stretch to call them “harmless.” They are defined, per Wikipedia, as “…fast-moving, venomous, predatory, terrestrial arthropods that have long bodies and many jointed legs.”
The exact species mentioned is credited with a rather painful bite.
I’m terrified of middling-sized carnivores. Badgers and wolverines are the worst of the lot. I can stomp on a rat, or grab its head and squeeze, or even throw it hard against a wall. Badgers and wolverines are just a little bit too big to easily manhandle without getting your abdomen shredded to ribbons.
shudder
You realise that I’m writing all this down, in case I ever need to torture any of you people?