Ever heard of Struwwelpeter? This book is an amazing 19th century exercise in corrective scare tactics for children. "Shock-headed Peter" and company learn all kinds of tough lessons in the consequences of misbehavior. Author Heinrich Hoffman conceived and wrote it as a holiday gift for his 3 year old son. The lessons herein are totally insane. I love it, but I absolutely can't imagine putting my own son to sleep at night with this stuff. My vote for most terrifying kids' book ever.
Hoffman's 1848 English Edition.
Bob Staake's 21st Century Struwwelpeter.