Well, in his origin story, he finds out he has a mutant healing factor after he's covered in scorpions, stung upwards of 1000 times. He recovered instantly, but since he thought he was going to die, the phobia remains.
His brother Sabertooth threw him into the pit of scorpions.
He was also traumatized when some other mutant possessed him and made him into a human doughnut, completely rearranging his insides into temporary putty, and he always remembered it.
I picked up the first few seasons on DVD as an anniversary gift for my girlfriend. We've been watching through them and they are the perfect kind of so-bad-its-good.