[minor aside] And didn’t the wicked step-mother end up being fitted with red-hot iron shoes? I see to recall the last part of the original story dealing with this, and ending with, “and it was no more than she deserved”. 
Children seem to find being frightened fascinating – consider the tradition of telling ghost stories around a camp fire and (IMHO at least) have more ability to distinguish fact from fiction than some adults credit them with.
surel stated: “I think I had fewer problems with horror that was put into a moral context”, and that was the original purpose of fairy tales – they were morality tales, and not necessarily for children. They describe actions and consequences… folk parables if you like. We have subsequently bowdlerized and sanitized fairy tales, removing the consequences. Cinderella’s stepmother and stepsisters no longer get their comeuppences (beyond not getting the Prince).
As for the TV, I’m no expert on US kid’s shows, but we seemed to have had an inordinate number of terrifying british ones served up to us as kids. Doctor Who might have had poor SFX (and a wardrobe budget that consisted mostly of purchasing tin-foil) but most of my friends and acquaintaces of about my age (early 30’s) remember watching the show from half-behind the sofa. Some were particulary afraid of the Daleks, others the Cybermen… for me it was the Autons – weird plastic robot aliens with guns concealed in their arms.
Sapphire and Steel is another good example of british children’s TV apparently designed to scare the living daylights out of the viewers – the story about the man with no face who was in every photo ever taken still gives me shivers:
As I was walking up the stairs,
I met a man who wasn’t there,
He wasn’t there again today,
Oh, how I wish he’d go away.
That all said, there was one that still sticks in my mind some 25 years later. I don’t know the name of it, and like Ben said, it “sounds idiotic when I describe it”. It concerned a girl who was sick and bed-ridden and a magic pencil (I think). When she slept she had a recurring dream and in it where the things she had drawn – there was a house on a hill and a ring of standing stones about the house. She wasn’t sick in the dream, but there was a boy who was, and – this is the scary bit – the stones shuffled closer to the house every night… but only when no-one was watching them. :eek: (If anyone happens to know the name of this show I would be most interested to learn it).
Much as these shows frightened me at the time, I remember them fondly as part of childhood and would not trade them for any quantity of Poke-things and purple dinosaurs.