Part of it is because I grew up watching horror of all kinds (classic, b-movie, whatever random cheesy movie my dad found at blockbuster) with my parents. It was sort of a tradition.

This might be too personal but I never really thought too much about this question before...

An older sibling was abusive to me when I was growing up (threatening to kill me with knives, molesting me, other shitty things) and was very violent towards my parents as well. Horror movies helped me cope with the violence and other fucked up things that went on in my house almost daily. It was a mix of desensitizing myself to my personal violence and imagining myself as the final girl in the movies, kicking ass and taking names. Plus the adrenaline I felt being scared was always a plus. Thankfully I'm doing much better now and horror movies are just fun now.