Well, my fighting skills are practically non-existant, so I'd most likely be dead pretty quick. But if somehow I survived...
Shelob's lair- I'd be gone. I could handle the spiderwebs, but by the time Shelob actually showed up, I'd be close to a nervous breakdown already, from all the webs brushing my face and such. I'd probably die of fright at the sight of a giant spider. The little ones, I can deal with, though they creep me out and I usually have to get someone else to squish 'em, but a spider bigger than me...
Cracks of Doom- wouldn't be so bad, but of course I'd never get there, since I'd have to go through Shelob's lair. I don't mind hot rocky emptiness.
Moria- I don't mind caves, I once went into one without a flashlight, following another group with flashlights, and almost fell too far behind coming out. It wasn't a very big one, just a long tunnely thing. (old lava tube, actually) So Moria wouldn't be so bad, at least until the orcs showed up. The bridge of Khazad-dum would be very scary, as it's high up and not very wide.
Paths of the Dead- Like I said, I don't mind caves, but when the caves are haunted, it might be very different. I don't know how scary that would be for me.
Any battle- Which end of this thing do I hold on to again? HEEEELLLP M---