Recently I worked up the courage to finally send a story to a paying 'zine rather than to a competition. Sending stories to competitions is not nearly so scary, because your submission will no doubt be one of hundreds, if not thousands, arriving at the same time. Also, you don't get 'rejected' from a competition: you just don't win.
I've been a bit worried about how I would handle rejections when I actually started submitting stories to publishers. I was afraid I would get upset and childish about it. But when I found my first rejection in my inbox a short while ago, I was surprisingly happy.
Why was I happy? Because I got a personalised rejection, with some advice on how the story could be improved, and an invitation to submit more work. I think that's pretty damn good for a first submission. I must be doing something right, after all!