People crave excitement and a scare that isn't real. The audience tends to be younger people with a sprinkling of older folks. Older people have enough experience with reality as a scary thing and tend not to be as interested in horror movies.
People that like horror films want the adrenaline ride whether on a motorcycle, skydiving or through a vicarious scare. Stephen King promised in Dense Macabre to dish out the fear. He wrote that "terror is the finest emotion, and so I will try to terrorize the reader."
This quote of Jean Lorrain may be of interest. "The charm of horror only tempts the strong." Guys that feel strong with their girlfriend hugged close to them while viewing a macabre movie would probably agreed with Lorrain.
But the psychology of the movie scare, the house of horrors at the fair, the spooky hay ride or the trip to the local, out of the way, old dilapidated house that has a reputation as haunted is a limited and safe fright event.
If these things jerk a scream out of a brave guy or gal at least they're brave enough to go and experience it, right?
Research suggests that beyond the yearning for excitement, people like horror movies because they can struggle with intense emotions, and it tends to be more a male thing, so they can prove in a group that they can handle it.
Then again, Stephen King in "Why We Crave Horror Movies" says that he believes we're all "mentally ill."
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