Some phobias are common, whereas others are idiosyncratic. What are some of the

A fear of heights ( acrophobia), fear of snakes and insects, thunder ( brontophobia), or being trapped in enclosed spaces ( claustrophobia) may have been adaptive to our prehistoric ancestors by helping them to avoid real danger. 
Thus, mechanisms may have evolved so that these fears are easily acquired by humans.
Other, less common fears, are more likely learned.
These fears may have developed as a result of classical conditioning.
Watson and Rayner used classical conditioning to instill a phobia of white furry objects in Little Albert.
A stimulus that naturally produces fear (sudden loud noise) was repeatedly paired with a neutral stimulus (white rat).  Albert soon learned to fear the white rat.  This fear generalized to other white, furry objects.
It is adaptive for us to be able to learn fears of specific objects or events that may be unique to our particular situation.