The first horror I ever watched was Jaws in the 8-9 range. I didnt become a horror nut (going to cons, reading everything I could, collecting VHS tapes) until I saw a VHS copy of Dawn of the Dead around 15 or 16. Ever since then I've been hooked.
I like horror because.....I dont really know why. I guess its that good vs evil thing. Seeing the hero get his shit together and save the day is great. But I also like seeing the bad guy win as well. Never really thought about why I liked horror.