Why is Juliet frightened when Romeo comes out on the balcony in Romeo and Juliet?  

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Let us remember what happens in Act II scene 2. Romeo has stolen in to the Capulet's orchard, and is now beneath Juliet's window. We hear Romeo's soliloquy and then, as Juliet enters, we hear her soliloquy, that is, unbeknownst to her, heard by Romeo. She feels that, standing on her balcony, she is alone and can speak out her thoughts of the momentous event that has happened to her that evening. She voices her secret and hidden desires verbally precisely because she feels she is in a safe environment and no one can hear her. Thus when Romeo suddenly breaks out into speech and reveals himself in the dark, we can understand her fear at the sudden interruption of her reverie and, indeed, the way that she has voiced her most secret thoughts to someone and has exposed her emotions. Note what Juliet says:

What man art thou, that, thus bescreened in night,

So stumblest on my counsel?

We can see Juliet's point of view here. Romeo is "bescreened in night" and has deliberately concealed himself so he could sneak up on Juliet's balcony. He has deliberately eavesdropped in on her "counsel," which refers to her private thoughts, when he could have revealed himself before she started talking. Having confessed her love to a Montague, she has endangered her own public standing and her reputation. No wonder she is frightened at this intrusion.