I don't really weld myself anymore but my dad is a welding teacher and did it with me a bit when I was a kid. I've never found it particularly scary, although that may be because I grew up with it. Of course there's danger with it but as long as you never cut corners, always follow the safety rules, and learn from a reputable teacher I don't think its a big deal. My dad has never had an issue with it himself, just a few students screwing around and not following proper procedure from time to time.
You should see if there are any welder groups, artists, or classes in your area. You might be able to find some people to talk to about it who can give you some tips,
like what classes/teachers are good and where the best place is to get supplies :)