I would like to go out on the "ledge", especially at night when the city is all lit up and spectacular. I think it's the Hancock building that has an open viewing deck which is really fun to visit. But the little glass slide-out viewing booth has plenty of an enclosed feeling for me. If it was open, and just a railing, I'd be freaking.
I think the worst thing about heights would be having to go out on the tips of the antennas that are on the TOP of the Sears Tower to change out the light bulbs!

THAAT would scare the crap out of me.