My DS has been working through the emotion words lately too. I've sort of gotten into the habit of just going with it. If he says, "mommy, I'm scared." I usually reply, "you're scared?." Sort of a question, but more of a just matter of fact statement about what he's just told me (usually with a good strong "head nod" type of acknowledgement). He'll usually counter with either, "yeah, and then procede to tell me why (the wind is loud outside)" or he'll say, "no, I'm not scared." And then just go back to what he was doing.
Im actually really glad he's doing this. It's important to me that he understand emotions, and no how to label them. I feel that for him to eventually use words in place of tantrums, it's key to have those emotions down...
One things I've learned NOT to do is to immediately ask, "What's wrong?" or "Why are you scared?" These kinds of questions rendered DS silent for some reason and unable to work it through it on his own... he struggles with recall which I've read is really normal for this age. He knows tons, just don't ask him about them or put him on the spot.
At least, that's the way it's been lately for us.
Best of luck.