Seriously? You need an explanation why I'm afraid? Just LOOK AT THEM.
Actually, my fear of these creatures comes directly from Indiana Jones and the Temple of Doom. One of my favourite movies as a kid, it was also the first I saw to have what is described as "Frightening and Intense Scenes" and man-oh-man, you can't get much more intense and frightening than the bug scene to a five year old. All the bugs were pretty gross and disturbing, but the one that really got me was the giant millipede that crawled up the lovely Ms Caphaw's shirt. How she married Stephen Spielberg after he put her through that scene I will never know.
Did you know that the giant African millipede can grow to be over 15 inches long? Or how about the prehistoric arthropleura, which could grow to be EIGHT AND A HALF F*CKING FEET LONG.
Fortunately modern, common millipedes are much smaller than that. But that still makes them no less terrifying and gross. Nor does it excuse the absolutely horrifying fact that they can derail trains.
So yeah, I'm afraid of millipedes, for damn good reason.