The Euro 2012 site falls for an old canard:
The great Roman general Julius Caesar once said: “We have not to fear anything, except fear itself.” It was with more or less the same approach that another Caesar – Cesare Prandelli, Italy’s new coach – accepted the post after the Azzurri’s disappointing FIFA World Cup campaign.
Not sure what the source of this one is — I’m really curious if it was ever claimed before FDR; heck, I’m curious whether it was claimed before the interwebs — but I am rather certain it doesn’t come from any of JC’s writings or any of the ancient sources about him. I’ll happily be corrected on this, but my breath isn’t in the holdable state …
rogueclassicism 
Here’s Nigel Rees on pp. 68-9 of *Sayings of the Century* (London : George Allen & Unwin 1984), on the saying as used in FDR’s inaugural address of the 4th March 1933: “The classic phrase did not appear in Roosevelt’s first draft but appears to have been inserted by him the day before the speech was delivered. A copy of Thoreau’s writings was with him at this time containing the line ‘Nothing is so much to be feared as fear’ but Raymond Moley asserted later that it was Louis Howe who contributed the ‘fear’ phrase, having picked it up from a newspaper advertisement for a department store, In fact, any number of precedents could be cited – the Duke of Wellington (‘the only thing I am afraid of is fear’), Montaigne, Bacon, the Book of Proverbs – but in the end what matters is that Roosevelt had the wit to utter it on this occasion.”