That's a good question! I think the reasons people enjoy watching horror, gore, dark dramas and exploitative films are broadly varying, and part of a complex psychology. We each have our own tastes, and unique reasons for having the tastes. Students could write dissertations on the topic, and I'm sure they have.
I've been a horror fan my whole life, and also a fan of dark art and music. I'm not sure why. I had a good upbringing, and was successful in academics, athletics, and art. Yet, I still was always doodling violent images and writing disturbing poetry. I don't think I'm a depressive person, but there's definitely something going on there.
So being drawn to the scary stuff seemed engrained in me, whether that be part if my natural brain chemistry, or a product of my environment somehow. But what type of scary stuff is an important distinction, and that's what you're asking about.
I personally cannot stand non-fictional disturbing stuff. I don't enjoy real crime documentaries, stuff like Faces of Death isn't fun for me, and I don't even like watching the news. However, I enjoy watching the most disturbing fictional stuff out there. (Although, I admit, I've yet to see A Serbian Film.)
For most of my horror watching life, I was always mostly drawn to psychological stuff and ghosts, and I have a soft spot for demon possession. But a few years ago, probably with the advent of Hostel, and the tendency for ultraviolence from the rest of the Splat Pack (Saw, Devils Rejects, Hills Have Eyes remake, Wolf Creek), and then discovering New French Extremity (Inside, Martyrs, High Tension), I discovered that watching these films felt almost like a dare, and if I could watch them without averting my eyes, it was titillating. Take it a step further, to the exploitative stuff you mentioned, and Cannibal Holocaust, The Human Centipede, etc., and each film is like an exhausting experience that sticks with you for a while afterwards.
I'm not sure I can fully explain why, but I believe I enjoy these films because a) I know they're not real, and b) they make me feel something I would never (hopefully ever) feel in real life, and "getting through it" feels almost like an accomplishment, and that I survived a traumatic experience. It's a theory, anyway.
I'm curious to hear other people's views!