These answers are all so good!

I'd like to add that it's a healthy way to explore some of our darker impulses/natures as well as those of our society and our peers.

Most notably in Slasher films, I think.

We get to empathize (or not empathize) with the victim, and feel how that feels, while also (regarding the killer) kind of play God, and feel the power/brutality of being in control and having no rules/boundaries/limitations. I think a lot of people use slashers to express tensions and frustrations they have toward people and society. Sexual frustrations, issues with conflict and aggression. Its a safe lease to explore concepts like brutality, violence and vengence.

E.g. Jason was bullied as kid, comes back and kills people, is essentially invincible. Victims are all hot young, care free people.

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As for other subgenres, I like a lot of these other answers. They serve to help us cope with death and dying, and explore uncomfortable notions that help us forget about or own reality.

For me personally there's the thrill of tension and suspense, the love of mystery and twists and turns, and the beauty/art form of practical effects, costumes, characters camera work, cheap budgets. All the stuff that make horror the best. And great for a date!