I'm a huge horror movie fan. I've always loved them since I was a kid.
The appeal in horror movies lies in their excitement and danger. There's a real thrill in being thrilled. Some people enjoy being scared because it provides a surge of adrenaline (Texas Chainsaw Massacre, Halloween). Others like to be disgusted or revolted because it challenges their appetite or their "strength" (Saw, Hostel, Night of the Living Dead, Dead Ringers). And others just like to experience disturbing events because it gives them an opportunity to peek into the world that no ones has ever returned from: lunacy (Shutter Island, Girl Interrupted).
Horror movies appeal to our fantasy-yearning side. We WANT to experience horror and thrill because it's an exciting experience that doesn't happen to us everyday, from the safety of our sofas. Today's society is too safe and too politically correct, so horror movies are a form of escapism.
But horror movies also appeal to our taboo side. We want to experience things that we're not allowed to experience otherwise in real life. Things like cannibalism, torture, mutilation, ingestion of the "unsavoury" etc. This is often known as "body horror" and appeals to our sense of disgust.
There is also a category of horror films that needs its own titles and that's supernatural horror. The reason why these have become so increasingly popular (The Exorcist, Blair Witch Project, Paranormal Activity, Exorcism of Emily Rose, The Amityville Horror) is because of the atmosphere they create. Supernatural horror is scary not because of what you see, but because of what you DON'T see. It's the possibility that there could be something life threatening that we can't even see.
At the end of the day, horror movies are all about the experience. We all watch them for different reasons, but it's always about the exciting experience.