In the early first half of the 1900s Russian psychologist Bluma Zeigarnik discovered, well the Zeigarnik Effect.
The way the story goes, a waiter takes down the orders of a party without using any pen or paper - all memory. Minutes later he returns the orders and serves the dinner without missing a hitch. After the meal, the customers leave but end up returning upon the realization that one of the members of the party has left their umbrella. When they ask the waiter for help, who is sure to know where the umbrella is with his impressive memory, the waiter responds by saying he doesn't even really remember who the customers were. "As soon as I return the bill for the meal, I forget everything about what customers actually ordered," says the waiter.
According to Zeigarnik, when you finish a task, your brain allows itself to in a way "forget" about the task. But if you leave a task pending, your mind is wired to remember that something isn't yet finished and demands attention.
Incidentally, this is the way songs get stuck in our heads. If you ever find that a song is stuck in your head, it's most likely because you were listening to a song but you didn't get to finish it. Next time you find yourself humming to the same tune again and again, try listening to the song from start to finish and see if the song still remains.*
Here's another quick example: when a television show ends on a cliffhanger, we're more inclined to watch the next episode to see the conclusion.
So if you're intimidated by a daunting task, the easiest and best thing you can do is simply just start. Sounds like overly simple and obvious advice, but in moments where I find myself procrastinating on something it's easy to forget that I'm more inclined to finish something that I've already started.
Just another reason why taking the first step is the most important one.
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*This may not work for the most infectious and powerful of tunes (e.g. Call Me Maybe, Gangnam Style)