Right, I'm probably going to get shot down in flames for this, but I used the big, bad wolf, and monsters, to ram home the "stranger danger" message.
Ds1 used to sprint off out of sight at every and any opportunity, being completely unaware of danger and enjoying the thrill of having mummy chase after him. Ds2 sometimes does the same, although not as frequently. So I told them both about the wolves and monsters who dress up as people and take little boys away to gobble them up. And how if they go out of my sight then I can't help them if a wolf or monster grabs them.
It really is the only way I could get through to them - by using their own fear to make them want to stay safe. At 6 and 4 I can't really sit them down and explain what sort of person might really snatch a child, or that the real danger is more that they might injure themselves, as it just doesn't register with them. They were 4 and 2 when I started with this, and I have to say that it does mostly work very, very well. They do still leg it now and again, but not far, and never by themselves.
A cruel lie, maybe, but it worked. It has to be said that I wouldn't use this for mild behavioural issues as not going to bed, but for "stranger danger" it's worked very well. And after all, that was the intention of the original fairytales anyway.