Yes I've heard of someone who developed meningitis from an epidural and needed to be rehospitalized... It was determined that she was not properly sterilized prior to epidural insertion.
Having said that I have had several children without epidural, and several with. Given the choice I would definitely choose epidural. However, there are benefits to full natural births as well. The recovery is definitely much easier with no epidural, and the birth is usually faster.
I would recommend taking a hypnobirthing class if you would choose delivery without epidural; having a supporting person at your side definitely helps too. (The first delivery is usually the longest labor and most difficult by the way.) And whatever happens, either way, know that the end result of a healthy mother and baby is your goal. Most deliveries are non complicated, so I wouldn't worry so much....
Best wishes for a easy delivery and healthy baby, in the right moment.