We watched The Wizard of Oz with the girls a few weeks back. The were not scared by the flying monkeys or the Wicked Witch.
This last weekend we watched the first Harry Potter movie with the girls. They were not scared by the giant three headed dog or Valdemort (and he was scary!).
We check out this goofy book of scary stories from the library. One of them goes like this: A boy meets a girl. She tells him never to remove the green ribbon around her neck. They fall in love, get married. He asks about the ribbon, she says he must never remove it. Finally, on her deathbed, she says he can remove the green ribbon. He does, and...wait for it...her head falls off!
That stupid story gave them both nightmares.
I suppose you can tease something out of that about how the printed word is more powerful than the celluloid image, but I'm not going to bother.