When we first come upon the narrator discovering his predicament, he has his eyes closed, so he has no idea where he is or what is in store for him. He also admits that the thing he fears most is that he will open his eyes and see nothing at all, which is exactly what happened. For the first part of the story, he is in utter darkness, incapable of seeing his surroundings, and that is when he is most scared, at least according to the text. He stumbles in the darkness, trying to figure out anything at all about his prison - he assumes that he is imprisoned in a vault, but he does not know anything for sure. As he tries to study his cell, he admits to having no hope; whereas later, when the lights have illuminated the room, he admits to having hope.
All in all, the narrator is most afraid when he does not know his surroundings, so it provides a perfect example of fearing the unknown.