In one episode, one of the sheep eats a growth potion. This causes him to become supersize, and he starts to cause damage around the farm. The episode has a horror-movie theme throughout, which could frighten very young viewers.
One episode, "Little Sheep of Horrors", is set at night, and has a very eerie horror theme to it. At one point, a sheep appears to be dead as he has fallen asleep with tomato from a pizza all over his face, which is made to look like blood. This episode could scare younger viewers.
There is peril throughout the series, but it is all done in a comedic fashion.