I once heard that people enjoy watching horror movies because they feel a sense of relief knowing that they're not the ones who have to deal with zombies / be decapitated etc themselves. It merely happens to the characters in the movie. Don't know if that's true though. In my opinion, I think it's an evolutionary adaptation which helps you deal with dangerous situations, e.g. if you watch a crocodile eat a monkey, you will learn how to avoid being eaten yourself (by keeping appropiate distance or by learning cues about a croc's appetite etc).