That is a personal opinion. I personally don't think its scary, I enjoy it, though I get a rush from it. I can easily see, however, why someone would say it is scary. There are a lot of risks involved and if you don't know what you're doing there is a lot that can go wrong. So, the answer to your question really just depends on who you ask.
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It can be. Most people who try it experience at least a little bit of fear, usually on their first jump and their first solo jump, but often also when trying new maneuvers. The amount of fear experienced varies between people. Most people jump because they want to experience the fear and overcome it.