Matthew 1:20:

But while he thought on these things, behold, the angel of the Lord appeared unto him in a dream, saying, Joseph, thou son of David, fear not to take unto thee Mary thy wife: for that which is conceived in her is of the Holy Ghost.

See also:

Dealing with Fear
“Messenger” of Satan Defined
Objection: Isaiah 53:4 (Matthew 8:17) Was Fulfilled in Jesus’ Earth Ministry and Cannot Be Claimed as a Promise by Christians Today