Psychedelics in general, including LSD, often contain frightening or uncomfortable moments or periods, especially at first, because the experience is just so alien. When things come up unexpectedly, they are a lot harder to deal with, and that's why the term "setting" is so often used, and why it is so important. You need to minimize the chance of anything negative or unexpected coming up. For example, on my third trip I decided me and my friends should trip in my parents' attic while they were home. We came downstairs when they were still all awake and the sheer discomfort and weirdness we felt led to a very difficult trip for all of us. Had we done it in a safe place where we would be alone for sure, things might have turned out very differently.
"Set" refers to your mental state beforehand. Is your life falling apart? If so, psychedelics are going to be much more dangerous. Are you sad or angry about something? The same is true. Though people do use them to help work through those feelings sometimes, it also increases the risk of feeling fear.
I find the most difficult period of psychedelics is usually the come-up for me. Coming up involves a transition from normal consciousness to a very different state of consciousness, and that transition can be jarring. I don't have much trouble with it now, after 13 years and countless trips, but at first I would feel intense anxiety and sometimes panic responses during the come-up of most of my trips. Some of this is due to the mental change, and some is due to unpleasant body feelings, which psychedelics can cause on the come-up especially (though LSD is pretty light on the body). This is normal though and if you keep in mind that you took a drug and you're transitioning, you can keep it in perspective and ride it out... good music helps, something positive and loving. Being outside and just admiring nature also helps (in fact, I always get less bodyload on psychedelics when I'm outside). I have found that if I keep on top of the come-up and remember that it will pass, it will pass and the peak will not include these negative feelings (though they can come back briefly throughout if something throws you off). But if I succumb to the anxiety then the whole trip will feel like that and it will never break through into that "other space".