In this week's Torah portion, Vaigash (And He Approached), the Torah tells us that Jacob, along with his entire family, went down to Egypt to reunite with his son Joseph and spend the last years of his life in a better environment. When he arrived at the city of Beersheba, on the border of the Land of Israel, God appeared to him in a dream and said (see Genesis 46:3), "Do not be afraid when you go down to Egypt, for I will make you into a great nation there.".
Now, if Jacob was afraid to go to Egypt, why did God wait until he reached Beersheba to encourage him and not say anything at the beginning of the journey? Rashi explains that Jacob felt bad because he had to leave the Land of Israel, which would happen after passing Beersheba. This leads us to understand that what we thought was fear was actually a kind of suffering. Jacob knew what it meant to live outside the Land of Israel (since he had already lived for twenty years in Laban's house in Haran) and he knew that the best place to live and raise his family in the best possible environment was the Land of Israel. That is why God promises him that He will multiply him in Egypt, implying to Jacob that it is precisely through the descent into Egypt that the greatest growth will come afterward.
Even so, God does not tell Jacob "don't worry" or "don't suffer," because the feeling of being in exile, in a place (both physical and spiritual) that is not his own, not his proper place, must always exist within the Jew. This constantly reminds each person of their true place.
There is a twofold lesson here: on the one hand, we should not fear exile. If God sent us here, He gives us the strength to overcome it and will eventually bring us out of here. On the other hand, we should never become complacent or stop thinking that this is not our true place, both materially and spiritually. We must always demand that God bring the Final Redemption quickly, with Messiah, now!.