To many writing and watching and reading and living the horror genre is an affront to God. Being a fan will ultimately send to fires of Hell.
If this were to be true I don't think I would necessarily mind after all I would know everyone there.
Seriously though this is a non-injurious practice whatever the form. In my case I do not pray to the vampire or seek solace in the teachings of the werewolf. I practice and experience art.
Horror is an art form much like comedy and romance and in my heart of hearts I believe the Lord enjoys a good story of the spirit every now and then just as he does a mural in the chapel.