I would have, and actually have, done the same thing. My 3 yr old dd is scared of things like that, too. Kind of ironic, but just a few weeks ago we went to a puppet show that was similar to what you described. Same reaction and I took her out. We sat down and I took off my shoe and pulled off my sock, got my Mr. Sharpie out of my purse, made a face and showed her what a puppet was. Maybe she just really wanted me to put my stinky shoe back on, but once she saw what puppets are, she wasn't scared. The dark freaked her out though, so we finished watching by the door.