We never had any concerns for the scarier bits of HP for DD6, because she's fearless. At 4 she once picked up my book on the JFK assassination, flipped it open to the pictures, and demanded to know what they showed. I started explaining, and she became FASCINATED. We've had several conversations about the assassination since. Every so often she still picks up the book and peppers me with more questions. If she's not frightened by a true historical event, I'm not worried about fiction.
Few things in life frustrate her more than being too small to ride a roller coaster. But at the same time, she's very conscious about safety. For example, she wanted to know why she sits in the middle of the back seat, and I explained why it's the safest place in the car in case of an accident. She took that information and advanced it another level, because she independently decided to start wearing her bicycle helmet on car rides. DW had to discourage this behavior, because people in parking lots were noticing and giving DW dirty looks for being a psycho, overbearing mom.
Anyway, I'd say the worst thing in the whole series is the death of Dumbledore. DD6 has already seen it happen in the movie, and that moment clearly affected DW and I more than it did DD.
