Forgot one in my original post. Seasickness. He did not do well on the boat in Dead Weight when he went out with the general. Also he embarrassed himself in Troubled Waters when he almost threw up.
This is another very understandable one, so you'd hardly even call it a phobia.
In spite of all the murder victims he's seen, there are some kinds of wound that still get to him. Oddly enough, that includes a wound on a LIVE person, Paul Galesko.
Another phobia. He hates hospitals as mentioned in A Stitch in Crime. He gets queasy.