There are some spooky-ish scenes throughout the movie: graffiti that comes alive, dark scenes, desolate cities...
There is a scene in which a man with marionettes is walking through a deserted subway station. An odd sort of tune begins to plan and the marionettes begin to grow to larger than life size.
The flying monkeys are gruesome looking even though they have puppet faces, as are the Wicked Witch of the West, Evilene, and the workers in her factory who all have gross puppet-like faces. But it's not any scarier than Jim Henson's The Muppets.
Bad things happen to the Scarecrow, Lion and Tin Man, but they get quickly restored.
After they arrive at the Emerald City, and periodically until the end of the movie, there are bright colored lights that flash a few times.