In this context, at or in can be used, for example:
"What is at the park?"
- There is a festival at the park
- There is a concert in the park
Yes I think "at" is even better, not emphasizing that it's really in the park, just, well, there, at the park :) In Ukrainian both will be "в" though, we don't have "at", it's either "on" or "in" for most of the things...
In the Russian course, a sentence was "There's a bear in the park!" So from what I've learned, if I needed to warn a Ukrainian not to go there I'd say "Не ідіть туди!"
Не ідіть туди, там ведмідь!