Afraid! The shepherds had no idea what to expect, but their normal routine had just been toppled over. Read Luke 2:9.
And an angel of the Lord suddenly stood before them, and the glory of the Lord shone around them; and they were terribly frightened.
Luke 2:9 NASB
All that had seemed normal to them was gone and they were terribly afraid. No idea what to expect, but knowing that a Holy God had sent angels to them with a message was frightening.
When we see the true glory of God and who he is, then we’re have no choice but to recognize our own sinfulness and failures. That would make anyone afraid. Are we’re seeing God for who He truly is and for the glory and holiness that he has?