A good way for me to think about "what is it about horror" is to think about why I will pick a certain DVD off of my shelf to watch at any given time. I will pass dramas/comedies/actionflicks, all to come to horror/scifi films. And I think the reason is because they tickle my imagination. I can certainly enjoy a lot of those other genres, but they never touch my imagination. (I'm not saying other genres NEVER touch anyone's imagination...just not mine as well as as horror/scifi do.) With this genre you have to imagine the world, the people, the monsters, the contraptions, the colors(or B/W), and think about what they would be like to touch, feel, smell, or runaway from. When you watch Annie Hall, everything is basically the same as the observable world around you, so that 'imagination switch' never gets flipped on no matter how much you enjoy the movie.

So, I definitely combine my affection for these movies with other reasons posted, but for me it's definitely a majority percentage in favor of 'the imagination'.