The main reason, in my opinion, is that, no matter what people say about modern world and how terrible it is, the fact that the life of the majority of people is much safer and pleasanter than it used to be in the ages passed is certain. A couple of hundred years ago an average man had enough problems and fears of his own to be interested in additional adrenaline received from artificial ones.
In addition to this, people seem to be showing a tendency to love to be afraid. The regularity with which public consciousness creates new and new global scarecrows, like annual deadly pandemics and ends of the world, global warming, and so on, shows that humankind is simply bored and wants to create distractions.
While not being an actual scarecrow, horror movies serve as an excellent short-span adrenaline stimulator, so it is no surprise so many people are love them.
All in all, horror movies seem to be a natural consequence of the growing civilization comfort and feeling of boredom that is general for modern people extreme sports come from the same source and, presumably, are popular among the people who are bored to an even greater