I used to get extremely bad panic attacks the first two times I smoked pot. But, I've probably smoked hundreds and hundreds of times now, and no longer get any panic.
People sometimes panic from marijuana, especially when it's their first time getting high, or first time smoking a potent strain, because they are not used to the feelings they are getting, and may freak out.
Alcohol won't make you have a panic attack. At least it never makes me have panic attacks, but I hate alcohol, as it makes you feel like shit the next morning...
Even though cigarettes are bad, they won't give you a panic attack, and until you get addicted you'll get a nice buzz. Oh yeah, they also are good for calming you down.