YES! You will definitely at some point after the birth think "What have we done??" and then feel incredibly guilty for even thinking it. We all think that. 
It won't be the last time you think it either, I had a wobble recently "Oh god why did we have three kids, we're skint and we can't keep them under control waaah" lol
Gas and air, breathing, staying upright and hugging your partner are all great things to try during the birth. I found chanting (in my head) "it's just a contraction, it's just a contraction" really helped keep it in perspective. If you feel fear taking over tell your midwife to "keep you in the room". They can hold your hand, talk to you quietly. IT really does help. One of the best pain relief methods I found was to have my partner hugging me, and getting him to apply pressure to my lower back.
No shame in drugs at all, but if you can, do try the birth pool because the the freedom and support that the water gives you, makes it so blooming easy that you can often get away with nothing at all, or just gas and air. Deep deep breaths of gas and air as the contraction builds, and try to leave it alone when you aren't contracting, as it can make you woozy and spaced out if you constantly breathe it.