It's probably a similar thing to why people jump out of airplanes, or eat Trinidad scorpion peppers or whatnot...or it may just be a level of fantasy satisfaction to see a certain character archetype get what's coming to them - after all, a lot of horror comes down to morality tales, look at who dies: the asshole local sheriff/authority figure, the dumb, horny teenagers you hated in school, the cruel/unethical parent/psychiatrist, etc.