I discovered HPDE road course events in 2007 with my 2005 Mustang GT. A friend with a Spec Miata introduced me to this hobby. My first event was absolutely nerve-wracking, and I was genuinely relieved when it was over and my car had gotten through it unscathed. At the same time, it was exhilarating beyond my wildest expectations and I was hooked. I finally started to relax a bit on my third event, and became very comfortable and confident on the track.
Since 2007, I have only missed one yearly event, so I have 7 track days under my belt. I have done these tracks in the Northeast US:
2007 - Lime Rock Park
2008 - Loudon
2009 - Watkins Glen
2010 - Watkins Glen
2011 - No event
2012 - NJ Motorsports Park - Thunderbolt course
2013 - Lime Rock
2014 - Thompson Speedway
But now that I have sold the Mustang and have just about 1000 miles on my M235i, I already can sense some nervousness returning. The difference of course is that the BMW cost twice as much as the Mustang, and probably costs at least twice as much for any repair.
But, you only live once as they say, and there really is no substitute for the track if you are an enthusiast, so no doubt I will somehow work up the nerve to take my precious new baby to a track.
Here's a short 1-minute video of my only experience going "off track" at an event. Technically this was a "2 wheels off" excursion, since two wheels were still on the track, but nonetheless I did go off the pavement and had to pit afterwards and report the incident:
https://www.youtube.com/watch?v=xJ61jI5fwwM