I will not get into the halachic/hashkafic aspect – as others have noted, I don’t know you well enough for that. If, however, you generally do not allow your children to watch secular movies, then there’s no reason for the Wizard of Oz to be an exception.
As far as your kids – there are definitely scary parts. The Wicked Witch and her soldiers (whatever they’re called, I’ve forgotten) can be very scary for small children. So can the flying monkeys. And there is some element of violence – the Wicked Witch of the East who’s crushed by Dorothy’s house at the beginning, the kidnapping of everyone to the castle of the Wicked Witch of the West, and of course Dorothy’s killing the Wicked Witch (albeit unintentionally) by accidentally spritzing her with water while saving the Scarecrow who caught on fire.
There might be more, I don’t know – it’s for sure been over 25 years since I saw it!