Apparently there is only one fear you actually naturally have at birth - I can't remember what it is but I think it's falling, or something like that.
All other fears and phobias are a learned response. Either to a pain stimulus (don't stick you finger in a fire twice), a trauma (being locked in a cupboard as a child with only the spiders for company) or a copied response - such as having a parent afraid of spiders.
The theory basically runs that if they are all a learned response, then you can 'unlearn' them - thereby effectively becoming phobia free.
Personally I don't have any phobias - which is a pity. I'd like to have one, just for a day to see what it's like.
But then I'm potentially terminally curious!