Concerning Shakespeare's Macbeth, you can read the basics of the two thane's reactions for yourself in Act 1.3. Most of what you need is readily apparent.
To clarify for you, I'll explain a detail or two and raise a point you may not notice upon a first or second reading.
The witches are androgynous, first of all. They appear to be women, yet wear beards. Macbeth and Banquo are, if anything, confused. Banquo is not afraid at all. He doesn't take the weird sisters seriously, and there's no evidence of his feeling any fear.
Macbeth, however, starts, or flinches, recoils, according to Banquo. This is significant. Banquo asks:
Good sir, why do you start and seem to fear
Things that do sound so fair?
Macbeth's flinch demonstrates his reaction to his being called the Thane of Cawdor and the prediction that he will be king. To flinch is to withdraw from as if from pain or anticipated pain, to tense the muscles involuntarily in anticipation of discomfort. Macbeth recoils, tenses up, withdraws.
Since we know that being named Cawdor and becoming king are not in themselves negatives to Macbeth, other reasons for his flinching must be present. A couple of possibilities exist.
First, the first genuine thoughts revealed by Macbeth, delivered when no one else hears, are located in his asides starting in line 130. In the second aside, Macbeth is already thinking of killing Duncan:
If good [the predictions, the witches], why do I yield to that suggestion
Whose horrid image doth unfix my hair,
And make my seated heart knock at my ribs
Against the use of nature? Present fears
Are less than horrible imaginings.
My thought, whose murder yet is but fantastical,
Shakes so my single state of man
That function is smothered in surmise,
And nothing is but what is not [nothing exists in the present but thoughts about the future].
First, then, Macbeth may flinch because he instantly recognizes what it will take for him to be king--killing the present king. And he fears doing that, as his later second thoughts reveal in Act 1.7.
Second, however, is the possibility that Macbeth, even before his encounter with the witches, has already been thinking of what it would take for him to be king. This would explain his instantaneous reaction to the predictions. He already knows what his becoming king would cost.
In short, Banquo does not take the witches seriously--not at first and not until the first prediction comes true (Macbeth is named Thane of Cawdor), and is never afraid of the witches. If he fears anything, he fears for Macbeth, that's why he warns Macbeth that evil agents sometimes give a small truth in order to mislead one into "deepest consequence" (128). Macbeth is not afraid of the witches, either. He is afraid of what will need to be done to make their predictions come true.
Macbeth and Banquo are both surprised, frightened, and in the case of Macbeth, he pretends not to care about them at all, but in reality wants to know more about the witches. Banquo treats them as you might expect a soldier to something new and unexpected. He confronts them, but does not trust them even though they predict he will be the father of kings. Macbeth, though is enthralled by the predictions. He wants to know more. He, as opposed to Banquo, thouroughly believes the three old hags and will tell us that he will get the witches to tell him more and he will do so by the "very worst mean." Banquo and Macbeth both believe in witches; everyone did. But, Macbeth allows his belief in the witches to guide his actions. Macbeth's downfall will come at the hands of the witches who give him just enough information to feed his vast ego. Banquo seems to write the witches off as "bubbles in the mist" and goes on about his life.