Bluebeard is a fairy tale about a lass who marries a guy called Bluebeard and he gives her the keys to his house and tells her not to go into one specific room and that room contains the bodies of his former wives.
I might be misremembering it somewhat, but I believe that's the gist.
The original somewhat gory Cinderella stories? I might wait until they're a bit older.
I don't have kids, so this is all hypothetical, of course.