Well, I had a streak of not sheltering so that DS would maybe, possibly understand what would happen if he did not pay attention to cars. He had a long phase of thinking he was invincible, which was scary. I pointed out roadkill, told him what happens to the body when your brain no longer functions, etc. Since my kid's sensitivities seem to be all external (clothing issues, etc), this did not really phase him. And he's sure to tell our vegetarian friends that he likes meat.
However, I did recently shelter him from the part in The Graveyard Book where the person who just murdered his entire family stands over the crib with a bloody knife (and DH was good enough to warn me about this). And I didn't read the parts talking about suicides. But DS is just 5, and the rest of the book is quite good for a kid who likes ghost stories. So the amount of sheltering will vary from family to family and situation to situation, but whatever feels right to you will be the right thing.
And, remember, if you don't teach your kids something the way you want them to learn it, they'll probably learn it from someone else if they really want to know. For example, I don't remember talking to DS about robbers, but today we were following my mom's car, and DS said "we're following her just like robbers who follow someone home so they know where to go to steal stuff." Yikes! That led to an interesting discussion.
