"The Swamp Monster", "Little Sheep of Horrors" and "Things that go Bump" are probably the most frightening episodes, and could be scary for young children.
In one episode, one of the sheep eats a growth potion. This causes him to become supersize, and he starts to cause damage around the farm. The episode has a horror-movie theme throughout, which could frighten very young viewers.
One episode, "Little Sheep of Horrors", is set at night, and has a very eerie horror theme to it. At one point, a sheep appears to be dead as he has fallen asleep with tomato from a pizza all over his face, which is made to look like blood. This episode could scare younger viewers.
There is peril throughout the series, but it is all done in a comedic fashion.