According to Sciencedaily there are generally two theories; the first is that the person is not actually afraid, but excited by the movie. The second explanation is that they are willing to endure the terror in order to enjoy a euphoric sense of relief at the end.
I visited some discussion forums on the topic to see what the viewers had to say. Some of the emerging themes included the feeling of adrenaline - your heart starts pumping faster and you experience a type of rush, a thrill, a feeling of being a live. Another theme that was quite prominent was the ability to experience fear/horror in a safe environment; maybe it gives the viewer a sense of control. One more theme that emerged was people’s innate curiosity for the inexplicable, wanting to know what will happen next, maybe even a curiosity into the dark side of human nature.
Whatever the reason for watching, the horror genre is here to stay and if you’re a fearless fan then do not miss The Thing, set to be released October 2011.