俺 (noun) means “I” in a manly way.
は is the particle indicating the topic of the sentence.
狂気 (noun) means “insanity, madness or crazy”.
The particle の enables the preceding noun (狂気) to modify the following noun (マッドサイエンティスト).
マッドサイエンティスト is a loanword taken from English, “mad scientist”.
鳳凰院凶真 is his self-proclaimed name as the mad scientist. 鳳凰院 is the last name meaning “phoenix institution” and 凶真 is the first name meaning “ominous truth”.
“何を + Verb Dictionary-Form + ことがある” is the rhetorical question used to convince someone that there is no need to do something. Let’s break it down for a deeper understanding.
何 means “what”.
The particle を indicates the direct object of the following verb which is 恐れる meaning “to fear”. So 何を恐れる means “What do I fear”.
こと has various meanings such as things, occasions, experiences and so on depending on the usage. And in this usage, it means “necessity”.
Noun がある means “something exists” or “there is something”.
So 何を恐れることがある means “What do I have to fear?” which is a rhetorical question pointing out “there is no need to fear” or “there is nothing to fear”.
という (collocation) is used to make the preceding word or clause stand out and emphasise it.
のだ (collocation) in a question sentence is used when the speaker wants to clarify something based on the context. In this case the context is the fact that he is the insane mad scientist, which helps to explain that he doesn’t have to fear.
So 何を恐れることがある is a complete sentence by itself but he added のだ to clarify it and という to emphasise it.