They are only few small things. Like Gil saying "Aaaaaaaaah!". And in outside time, there are frightening characters in the stories.
Since the show is preescholer themed, it won't contain any true elements of frightening, but many, and i mean many episodes from later seasons contain some intense adventures, but kids will not even feel frightened and will enjoy them.
Many episodes deal with heartwarming moments like bullying, saddnes, etc. Some kids or adults may be heartwarmed at the situations and how the kids save the situation.
Some intense battles are in the show.
Some characters may get chased in some episodes.
A running gag on four of sketches comedy in every episodes (Season 1 to 4), Gill does doing act relates to the episode's subject, but nothing dangerous, and Gill get screams, runaway, or mess afterward. This is played for laugh. However, in later of the Season (Season 5 to 6), the sketch only use once.