They are as scary as you allow them to be. The solution is familiarity: mock exams.
The more exams you do, the easier they get. I was lucky, we did Xmas and Summer exams for two years in junior school and every year in secondary school. When I did my O Levels (GCSEs to you), I had done 13 lots of exams, probably about 100 exams in total. The real exams were dead easy and non-scary because we all knew what to expect and how to do them.
You can get past papers online or convince your school / parents to buy them. Then using an alarm clock, sit at a table and do an exam. Repeat this over and over and over. It does not matter if you even do the same paper. You do not have to do this in every subject, the technique is much the same for any written exam.
Once you get the hang of The Number One Secret To Doing Exams™, you will find they are not scary.
The Number One Secret To Doing Exams™ is…
… time management.
5-10 minutes at the start to read the entire paper slowly. Work out what is required. If there are options, choose which questions to answer and cross out the others. Based on how many marks each question is worth, work out how much time to spend on each question. Allow 5 minutes at the end for checking. Work out a timetable for the exam of when you should be at each major question / section. Now start working on question 1. Stop when you have answered it or have run out of allocated time for it and start on question 2. Only when you have answered the final question do you use any unused time to go back to incomplete questions. The 5 minutes at the end are NOT for changing answers, but for making sure you have written something for every question you should have answered. That is, compare the question sheet with your answer sheet. Put your pen down, you're done.
Deciding to spend 15 minutes of the exam just planning and checking will get you far more marks than spending those 15 minutes scribbling, panicking and making stupid mistakes.
So, ask for mock papers and practise, practise, practise.