What were the disciples afraid of? In Mark 10:32 it says 


  32 And they were in the way going up to Jerusalem; and Jesus went 
  before them: and they were amazed; and as they followed, they were
  afraid. And he took again the twelve, and began to tell them what 
  things should happen unto him,...


and got my attention that Disciples were afraid of something and cant figure out what they were afraid of?
We should not so much look for what the disciples were afraid of, but look at how the story in Mark's Gospel unfolds and why the disciples are being described as afraid, without apparent reason. David Rhoads, Joanna Dewey and Donald Michie say in Mark as Story, page 1,  that the composer of Mark's Gospel has used sophisticated storytelling techniques, developed the characters and the conflicts, and built suspense with deliberateness, telling the story to generate certain insights and responses in the audience. 

In the case of this passage, the author is building suspense in preparation for the following verses, in which Jesus foretells his crucifixion:


  Mark 10:33-34: Saying, Behold, we go up to Jerusalem; and the Son of man shall be delivered unto the chief priests, and unto the scribes; and they shall condemn him to death, and shall deliver him to the Gentiles: And they shall mock him, and shall scourge him, and shall spit upon him, and shall kill him: and the third day he shall rise again.