Anyone else terrified of labour?

I am 36 weeks 2 days with my first and I am absolutely terrified. I experience a lot of pain during pap exams and even have pain when having sex with my husband we have to take it very slow at first. I just can't imagine how painful labour will be. Also my doctor is trying to convince me not to do an epidural and to try other methods for pain first. Does anyone have any positive advice ? Or are in the same boat?