It's funny you bring this up, because I was just thinking about this the other day. I'm the type of person who needs to be just a little on edge or I don't do well, be it something as mundane as driving or as complex as flying a P-3 with (simulated) emergencies (no real real emergencies yet, knock on wood). They say that musicians who play when they're completely relaxed, no nerves at all, don't play nearly as well as if they were just a little on edge.
Being nervous has been a constant, but what hasn't remainded constant is how nervous I need to be to do well. I was terrified a lot in Primary, but only before the flight itself--during the flight I was fine. I was absolutely convinced I was going to do something hosed up and get kicked out, and I got very, very nervous before events. I have no idea why; it was some kind of defeatist mentality, and I think if I'd started with a better one, I would have done better overall. I'd also say that you should study with other people a LOT; it's easy to get paranoid when you study by yourself. By the time I was done, though, I was pretty good at flying the T-34, but only after I'd proved to myself that I could do it. To a lesser extent, that's how I felt in the C-12 (which is ridiculously easy to fly two-engine; single-engine is harder) and how I'm just barely beginning to feel like in the P-3. Take each success for what it is and use it to show yourself that you can learn how to fly; take each failure as a teaching point on what you don't know and what you need to work on.
I would also say that anytime you don't feel comfortable with something, just pull out the book and look it over. Fly the pattern in your head after they teach it to you; build your instrument scan on the poster they give you; give yourself an altitude and spin a bottle on a floor for a wind direction and walk through a PEL (with corrections) in your living room; walk through the BI patterns until you have them memorized.
Something my band director (yes, ha ha, I was a band geek--and band camp was awesome) told me when I first started playing stuck with me for a long time. He said, "I never said this would be easy." That is probably the truest statement of anything you want to do well, and this is by far no exception.