I am terribly afraid of single-engine planes, though. I'd probably get to sport pilot and immediately keep going to whatever the next level was that allowed me to fly twin-engines.
From http://www.schiratti.com/humour.html:
Control: You're unreadable, say again.
Motor-glider: I've turned off the engine, is that better?
Control: (looong pause)
Having an extra engine doesn't mean you are going to survive an engine failure. If you don't react quickly to the failure, you're in trouble. And remember, although a multi-engine plane decreases the chance of all engines failing, it increases the chance of an engine failing. So you increase your risk of Something Bad happening. People don't fly multi-engine light aircraft for safety, they do it for better performance. (AFAIK, anyway.)
Single-engine planes have quite good glide ratios, and there are a lot of good places to land them. Try it in the simulator some time.
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You can even buy a USB-Key that makes it FAA-certified!
All of that said - for me, it is a great source of pride to have a pilot's license. I know the risks and take the steps I can to minimize them. But realistically, there are so many more mundane and common ways to lose one's life. You're less likely to die in a private plane than in your car. Flying is fun and a healthy respect for it will keep it fun and safe.