I'd like to nominate a Dutch classic - the Kikker (Frog)books by .
We've received two as gifts and both contain some rather sobering tales:
From "Dit is Kikker" -- Kikker is walking along, comes across a dead bird, thinks bird is sleeping, owl declares bird dead. Kikker and friends discuss 'what is death' and in the end arrange a burial. Bird buried with tears all around. Kikker and friends start a game of tag and discuss how joyful it is to be alive.
From "Kikker en het avontuur" (Frog and the adventure) -- Rain begins to fall, at first Kikker enjoys the raindrops, after a few days water begins to fill his home, few more days pass and Kikker gets out to a friend's house which floods so they head to next friend's house. The pictures show a very sad Pig as his home is destroyed. Next they all head to Rabbit's house. Eventually, they are starving as food runs out. Kikker tries to swim out for help. He nearly drowns, but is rescued at last moment by Rat. Together they bring food and everyone survives to clean up the damage.
Unfortunately, I didn't find any English translations of these uplifting tales with images I'm sure everyone would like their little ones to go to sleep with.