The scary ones are the urban legend stories. When it gets into the core story it's more about action and less about chills. It's a trade off. Good comparison Dick is the Lex Luther of the show. He has billions, underlings and uses them to carry out his agenda rather than being 'hands on'.
A lot of it depends. I remember the fairy episode. Traditionally, fairies are somewhat similar to demons: They can be obligated to help you (by performing an act of kindness with no expectation of a reward, or you can bind them by learning their name), but, the most important thing is, you don't let them know your name. They like to pull tricks, but these aren't nice cartoony tricks.
It's kinda like how the Coyote you hear about in Boy Scouts isn't some lech, but still has the combination of omnipotence with sheer incompetence.