A dauntless person is someone who isn't easily frightened or intimidated. If your dance moves bring to mind a marionette being jerked around by a five-year-old but you jump on the dance floor anyway, you could be considered dauntless.
The adjective dauntless is a variant of the noun daunt, which means "to intimidate or cause fear." Both words are related to another family of "D" words — dominate, domestic, domain. They all go back to the Latin root domare, which means "to tame." If you're dauntless, it means you're like a tiger or a wild horse — you can't be dominated or tamed.