The thing is, we might never get a "real" answer to the question of why we love to scare ourselves so much. It might depend on the person — does watching a scary movie leave you feeling relieved that the zombies aren't real, or does it keep you up at night with visions of grasping ghouls? Either way, the very act of getting frightened can be very satisfying, and it might come down to a physiological response.
Writing for Inside Science, Astara March noted that a frightening encounter inevitably floods your system with adrenaline, even if what you're experiencing isn't dangerous at all. When you see the little plastic spider on the ground, your body automatically prepares to react as if it's a black widow. Maybe you've got a particular fear of spiders, and you immediately run away. That's not likely to leave you smiling and ready for more scares. But if you've got a more controlled response to fear stimuli, then a quick check will reveal that you're not in any danger at all. Then you get to enjoy some of the side effects of the adrenaline rush, namely, a heightened production of endorphins.
So maybe it really does just come down to hormones. If you're the type of person who loves scary movies, it might be because you've trained your fear response not to immediately freak out when Jason Voorhees pops up on screen. And if you hate them, it's just that you've got a perfectly natural aversion to mask-wearing machete-wielders.