Undoubtedly, the fear can be seen a grounding emotion broadly studied by psychology, sociology and anthropology for many years. Every end of millennium represents for human beings a new embodiment of their beliefs, their production, forms of consumption and even their hierarchical lines of authority. As privileged witnesses of the starting of a new millennium, one might realize how the sentiment of unprotection has been disseminated as a virus world-wide. Ranging from appalling events such as 11/09 towards the Swine Flu recently appeared in Mexico, the perception of lay-people of what is or not dangerous seem to be changed for-ever. Under such a context, the present theoretical manuscript explores the connection of risk and fear at the time it delves into the main contributions and limitations of Jean Baudrillard, Anthony Giddens, Robert Castel, Ulrich Beck and Zygmunt Bauman. From different angles, every-one of cited scholars will give to reader an insight view of the role played by risk and fear in our modern society.