Why we consider scaring ourselves to be entertainment is a question for psychologists or philosophers. But the fact that we do is irrefutable. There were horror movies almost as soon as there were movies. And before movies were scary plays and scary novels, and before that scary stories told at the tribal campfire. The shiver of monster movie is undeniably exciting, and people seek excitement.
There are types of scary movies for almost every taste. There are the splatter-fests where an isolated group of teens is hunted down one by one. There is suspense horror with more stalking than gore. There are movies that are more comedy than horror, and even movies (primarily movies about vampires) where the horror is dreamily romanticized.
Villains come in all varieties. Some are just angry or crazy humans. Some are animals - normal but violent animals, or weirdly altered animals. Some are monsters of various types - vampires, werewolves, zombies, ghosts, robots, space aliens and demons.
Heroes and heroines come in all varieties as well, and sometimes the movie's hero is a monster himself.
In other genres of movies, the good guys almost (almost) always win. While the good guys usually win in monster movies, the genre does have a larger percentage of movies in which the good guys do not win. This feature increases the tension for horror movie viewers; when they sit down to watch the movie, they understand that it could well be that everyone is dead by the final credits. Sheer survival then becomes more of a triumph.
It's the rare viewer who likes all varieties of horror movies. But that's okay, that's why there are so many varieties.