Here is an initial attempt at setting creatures in an environment (it's just a rough sketch).  The fearful/feared creatures for "fear of pain" seemed like they would live in an arid climate, so I painted a hunting scene in a giant plain.  I also tried to make the feared object spikier and more painful looking.

In an attempt to break away from just doing phobias of the senses, here is a design for "fear of failure."  On one hand, it has somewhat adapted to its sedentary lifestyle: coloring helps it camouflage with the foliage it lives in, forward-facing eyes allow it to see upwards when it lies in wait for food.  On the other hand, I wanted to show that this lifestyle isn't completely natural for it: it has the ears, nose, and legs of a creature meant for motion.  Ultimately this is a creature that is so paralyzed by the thought of messing up, that it can only lie there and wait for food to come to it and exerts no effort of its own.