I can't say that I do unless the Dungeon Master does a really good job of setting up a scene that makes us all look like idiots. The other time is if I'm in ROK losing in combat with an enemy I should be winning.
Yes, I'm with Wizard on this one. I only get anxious, or perhaps nervous for the outcome of a PC I've probably come to like, when the Dungeon Master sets up a really tense situation and things could go either way. Of course, that also makes it fun.