Physical effects – people enjoy the excitement that horror generates in them, it makes them release endorphins, such as adrenaline, and people sometimes chase that feeling through watching scary films.
Emotion – people want to feel what the characters are feeling, like the terror, anxiety, fearful, panic, chased, cornered, etc. They want to have a connection or empathize with the protagonist/s. Some want to see the resolution in the end of the bad guy being taken down. They have the ability to pay a lot or little to nothing attention in order to control what effect it has on them.
To overcome fears – If they watch a ghost movie because they are terrified of them, by watching a paranormal film they might overcome that phobia/fear.
Intrigue – horror films sparks audiences attention due to it’s scary – sometimes ridiculous – subjects. The usually high exaggerated cases people have the opportunity to escape from their life and dive in into an artificial one. To escape from reality to a fantasy. Some people like to believe there are real ghosts out there, some like to believe there are vampires out there, and as ridiculous as it sounds, it is their escapade form the real world.
Voyeurism – they watch something that they wouldn’t normally. They try to go out of their comfort zone and watch something that they wouldn’t see in real life (unless it is a movie about an unhinged serial killer, because that can happen in reality).
Socializing – sometimes people just want to have a good time with friends and enjoy watching horror films together
Source : https://www.psychologytoday.com/us/blog/in-excess/201510/why-do-we-watching-scary-films
AS Media Studies 