Engines carry water and hoses. An engine crew's primary function at fires is to put the fire out and check for fire extension. Engines also respond to most aid calls. Going into a burning building is frightening and exciting at the same time. You don't have a whole lot of time to think about the dangers, really.
Training takes over.
And I trust my equipment and my partner. Some fires are definitely bigger than others. A kitchen fire is pretty well contained. A house that's fully involved can really get your heart racing. You walk in the front door and you've got a hand line and your partner and you're just trying to find the fire and you can't see anything.