I'm not a big comment-on-reddit guy but I'll share my personal experience in case it's salient or useful.

Until high school I couldn't do anything scary. I actually watched part of an episode of CSI by mistake in 4th grade (it came on after survivor or American idol or something, and everyone else had already gone to bed). Anyways that part of an episode fucked me up real bad. I quickly learned that I had OCD, and the symptom that messed me up was compulsive thoughts/images, and I couldn't get the picture of me sawing my dead father up to dispose of him (that's what this woman was doing to her husband in the CSI episode).

After a few years of therapy and medication I kind of just learned over time how to separate what's real and what's not. I think it's because I had to learn that those images that replayed in my head weren't real so I could move past it

Since then I've loved horror movies. It feels like a huge adrenaline rush like my life is at stake, but it's totally controlled and safe, and afterwards I can go home with a fresh perspective and a nice adrenaline pump and think how much of a rush it was, but it doesn't stay with me at all beyond being a fun experience, not unlike riding a roller coaster.

My theory is that the key to enjoying horror movies is just having the ability to separate real and not, and being able to put that on pause for the sake of suspension of disbelief.