Most of Arya's worst fears have already happened, but she hasn't gotten a chance to see them up close and personal. This will be her chance! She'll hallucinate both her father and mother's executions. She'll see severed heads, and lots and lots of blood. She'll also see the corpses of her brothers, especially Jon and Robb's. She's got several siblings. Corpses will be following her everywhere!

Apart from that, Arya's afraid of not having a place to sleep at night. She's afraid of being lost, of being alone. Her lays guardians were the priests of the House of Black and White, so she's very afraid of not meeting their demands and being kicked out of the House. She'll think other people in the city are really the priests of the House, and she'll think they're punishing her. She'll hallucinate going blind, and she may hallucinate your character taking her very face off. (It's a rather painful procedure.)

Many of Arya's fears involve body horror, so if that's not something you want to get involved in/see, please let me know!