For me it's an escape. I can transfer my fears/stress/anxiety from real life into fear/anxiety I'm feeling for something on screen and it helps me relax.

For example, I watched Suspiria the other night. During the movie and for the rest of the evening, I forgot all about my in-laws who have been driving me insane and upcoming projects at work. I felt so much better the next day!

Also, I was raised to be a monster kid by my dad and my uncle and I have a lot of happy memories of watching all kinds of horror and sci-fi with my parents every evening after dinner.