As it so happens, I was teaching the girls the names of their bones this week. I don't believe in making skeletons scary, so we try to be very matter of fact about it. It's just another part of your body, no more scary than your stomach or your heart.
These skeletons that they made have all the bones labled. The girls cut them out and attached the parts with brads so that they move at all the joints. Then we played "Simon Says" with them. They had to nod their craniums, shake their pelvis, lift their femurs, and wave their radius and ulnas. It was pretty funny watching them. Latte didn't want to play, but I saw her touching her sternum when we did and noting everything we were doing.
Edited in Reply to Comment: I got the pattern that I copied for these skeletons out of one of my favorite resources. It's the October edition of the Teacher's Friend Idea Books that I've mentioned many times on this blog. I just love those books and use them for almost every project or activity we do. Last year (or the year before) we used Learning About My Body which is written for younger kids. The skeleton is easier to assemble and doesn't have the "scientific" bone names on it. If you click the link you can actually flip through that book page by page to see if it's the right level for your kids.