Keeping the scary books out of the book stack - Should we or shouldn't we?

Obviously you'd have to go a long way to find anything genuinely harrowing or disturbing like the books Colgan's article covered, but it begs the question, why do children actually quite like being scared, and why are monsters, witches, pirates and other nefarious book-dwellers amongst the most popular characters in Children's Picture Books?

When I was a child, three things terrified the hell out of me above and beyond anything else and they were real-world things, not dark imagined monsters or fictional nasties

1) Heights. Even to this day I am terrified of heights, particularly in buildings (I can stand on the summit of Ben Nevis without fear but the Eiffel Tower scares the pants off me). 

2) Clowns. Again, even to this day I can't stand them. 

3) Waxworks or mannequins. Yep you've guessed it, a childhood fear that has still stuck with me. 

Gollum, from The Hobbit? Naw, he's just a bug-eyed cave dweller and never really scared me when I first read his whisperings in the dark. The Giant Under the Snow? Alright, I'll admit to feeling a tingle of fear while reading about his leathery skeletal cohorts in John Gordon's timeless classic. But when Charlotte picks "The Gruffalo" or "Not Now, Bernard" from the book stack for a bed-time read, I wonder if she secretly wishes the Gruffalo would eat that dratted smug little mouse, or Bernard's monster would eat his ignorant parents (and boy, wouldn't they deserve it!) 

I've noticed that quite a few of the french books are available from Amazon UK. I am sorely tempted to pick one up just to see if they are genuinely disturbing, or whether french parents and kids are secretly enjoying a whole different side to children's picture books that us cotton-wool-wrapping parents are missing out on.