The most interesting part of horror movies is that even though we know it's just fiction, we get scared while watching. Actually, what makes us scared is not the movie but the things which are hidden deep inside of us.
Fear is a metaphorical perception just like pleasure and hurt. Fear can be different according to the (concrete/intangible) danger. Reasons are obvious for a concrete danger but the other one is awakened by being effected by para-conscious dangers.
We can name the feeling we get when we watch a horror movie as an intangible one because there is no real danger. So, we can describe the fear we get while watching a horror movie as a process of struggling with the things that are pent up subconsciously. So, that fear is a kind of protection so we can avoid real danger.
What is the biggest fear embedded in our subconscious?
If you realize most horror movies are about religion- a common one is exorcism. It's because lot's of people have fears about these things.