I love scary movies too! I like to be scared...even though it scares me
I enjoy them because if they scare you, then that's what they're supposed to do. They get the adrenaline flowing. But if they aren't scary, they're usually pretty hilarious. So it's a win win basically.
I also notice they tend to have pretty good looking casts as well.
One exception (a kind of sub-genre) is the ones that are essentially just torture porn, like the Saw series and the Hostel series.
Also I keep thinking sometimes in them, holy fuck these people are stupid! Because I know I (and pretty much everyone I know) wouldn't make the kind of stupid decisions that they make in the horror films. That could be a decent idea for a one off parody film, one where the characters keep making the sensible decisions.
Character A: Oh this creepy, dilapidated house in the middle of the woods with blood stains on the porch seems like an excellent place to camp out for the night.
Character B: One second....I'm pretty sure there's an inexpensive hotel with great reviews on tripadvisor just a couple miles away.
Character A: Maybe you're right, let's just go there.