That's a pretty good question. Horror movies are probably my favorite genre for some reason, but I can't really explain why. I think it's the attempt of a writer to try and scare you. I like to see if they can live up to the test and put me on the edge of my seat.
I tend to think what it would be like to be in the shoes of the victims and determine what I would do differently, or how they approach certain situations. Unfortunately, many horror movies do a very poor job of giving victims any kind of intellect whatsoever.
Lastly, I think they can be absolutely hilarious. Perfect example is from Friday the 13th, part 6 where Jason is reborn and he storms through the woods, finds a campsite, and picks a girl up while she's still in her sleeping bag and tosses her into a tree. Sounds sick, but if you see it, you can find the humor because its such a ridiculous situation. Most times the killers have a marginally un-fair advantage.
/end babble
EDIT: I think I posted a bit too late. People said the same sort of thing above.