The Borg are evil. We know they're evil. They want to assimilate us, force us to join their Collective. That scares us and it scares us because we would have to give up our identity, our individualism. The fight between the Borg Collective and Star Fleet is a prototypical human struggle between the group and the individual. To give in to the group entirely and lose your individualism is a frightening thing.
Humans are social. It's our nature. We instinctively form groups at every level of our society. Whether it's a tribe, a club, a nation or a guild, it's part of our nature, for good and ill to form these social groups. And yet, we all strive to be individuals, putting us at odds with our instinctual drive to be part of a group.