Snorkeling with my parents in Honduras when I was 6 or 7. Everything was fine in shallows when it gradually went to 5 feet deep or so but then a wall and it just went bottomless. And it wasn't a clear blue either, just gradually murkier. I absolutely freaked and panic-swam straight over the reef to shore, slashed my legs all up on coral, and man, that haunted my dreams for a while.
Had a gradual foreboding snorkeling and free-diving down to 20 feet or so along Tunnels reef but that wasn't really about depths so much as sensing bad things lurking out of my vision. Probably paranoia but swimming with sea turtles 30 seconds later was far better.
Heights? Screw those.
So many close calls that if I was a cat, I'd be schizophrenic. Not so much lately but repeatedly have had dreams where I drive off a huge cliff to sure demise. But I stick the landing clean.
The best one of those was when I was 9, sleeping on the stairwell on a boat, it lurched, I dreamt I was falling, and I did 6 feet straight down right into the galley. Smooth. Amazingly didn't get really hurt. But that's messed up when you dream you're falling and you actually land. No way in hell I could camp in those little platform tents halfway up things like El Capitan.