Predominantly because you are not paying enough attention to all the details. They are interconnected episodes, the more you watch them, the more they start to collectively make sense of what's really going on. Here let me briefly explain,
Do you remember the Bunny soft toy that Sakurada family has, is it any surprise that both the female members of the family are addicted to bunnies and are themselves Bunny like. Connect that to the almost turtle like personality of Masao.
Remember Shinko, don't you find she and Ai-chan to be quite alike, both are much infatuated with Shinchan for that simple reason. Again do you see a connection between them and Shinchan himself, his aloof personality and infatuation with older women.
Remember the Doll that can make it's owners very exhausted and stressed out. That's basically fresh parents and their dilemma with a baby resembling a doll.
Remember Kappa, Kappa is just another of the weird things that so resembles Shinchan's mind and perception. Was it any wonder that both he and Kappa were very alike in their own way.
Remember the park where all five members of the Kasukabe Squad are stuck. They can't really make it out no matter how hard they try and they must play with a little girl. That's basically someone locked away in the past and forced to do things over and over again. Until he snaps or he regains himself.
Remember the weird Restaurant that traps you once you utter a specific word. That's basically addiction 101 in a more light hearted manner. Once you're in, you basically have to fight monsters to get out.
Actually what you don't know is there is a spin-off series of Shinchan that actually deals with most of the Supernatural things and it's called Shinchan: Urban Legend Stories. Most of the somewhat scary episodes belong to that Anime.
Additionally, most of Shinchan is basically circumstantial and referencial comedy. That needs a lot of content, soaked rich in realism and reality. As a result most of the weirdness that you actually find in Shinchan is a subtle dig at something quirky that exist in real life.
There are countless examples of these weird episodes, that seem to make little to no sense. Though thinking them through almost brings us to the epiphany that things aren't as simple as they seem. Basically these episodes are the mature elements in a kids show designed for the adults to find enjoyment.
Hope that satisfies your query