I love the rush I get out of being scared, and it also is a great way to keep yourself company when you're bored. When I've struggled hard with depression it also have been a good way to distract my thoughts.
Most films mix together elements of different genres but many horror films tend to be a pure genre experience. I suppose comedy films can be similar, where the focus is comedy and nothing else.
Not sure if I'm explaining this well. I suppose I mean that by having strong genre conventions that supercede everything else then horror films can embrace camp, cliche or whimsy more readily than other films can.