Where else can you find the all-powerful Lord Shiva running for His life, after granting a boon to an ardent devotee?
This is the story of Bhasmasura, the demon who prayed to Lord Shiva for a boon, a destructive weapon, and then tried to use it on the Lord Himself.
Click on this link to read the entire story. (In case the site does not exist any more or shows some error, just google for 'Bhasmasura', to find the story elsewhere - you may also find other variants of the story).
I have heard a slightly different version in which it is Ganapathy who eventually saves Lord Shiva. In yet another, Ganapathy gives the idea to Lord Vishnu to appear as Mohini. In any case, there is no dispute in the first part where the demon chases Lord Shiva across the World(s).
Footnote: The problem with narrating such stories to little four-year-olds is that among the inevitable flow of queries will be one or two that we absolutely cannot answer. After hearing the above story, the question was, "Do the Gods fight among themselves to decide which one of them is the Best?"