I am not going to give you a deep,y theological answer I am doing what I rarely do, provide a pastoral answer.
I do not like Horror movies since becoming a Christian, but I do not think we should bother making general rules about something like this. Personally I would find the assertion for or against watching 'horror movies' as unbiblical. Of course there is some point where 'enjoying' the watching of evil actions would be sin, but watching evil things is not necessarily enjoying them.
For example, I do like watching cop shows, where people are often doing evil things. I like the idea of justice catching up with the villain. I love to hate the villains. In the same way I can imagine someone liking the good overcoming the evil, even in a horror movie, but the point is 'what is going on in our hearts.' Are we enjoying evil or not? Only you can answer your own conscience.
What I would advise is that one should maintain a hatred for evil and a love for good, no matter what movie one watches. I find that sometimes the most wholesome TV shows offend me more than a horror movie would, because self-righteousness is asserted. At least a horror movie seems to support the doctrine of original sin.
The truth is almost every single movie and TV show promotes the view of the world and is a filthy portrayed of life. I am not saying throw your TV in the garbage, I am just saying the world is evil and so is all of its entertainment.
Having said this I watch a lot of movies and TV shows. As evil as these things are they are not as evil as my encountered with sinners in the world, and God has not called us out of this world. Even my non Christian parents who I love have filthier minds than what I often see portrayed in movies. What God wants us to do, therefore, is separate ourselves in our hearts.
So I return to the same point. Do we sense God's presence when we watch a movie and hate what is evil and love what is good, or as soon as we turn on the TV do we live a double life and never once think of God as we allow the worlds garbage into our hearts? So when watching a thriller, action, movie, or even possibly a horror movie, do it unto God in worship, hating all that is evil and loving all that is good. Trust me, if you do this you will know what movies make it difficult for you to do this and what movies do not. Do you finish a good movie rejoicing in Christ or craving more sinful things and disliking the idea of entering into worship?
Finally, I have found that some movies are temptations to some people, and do not bother others at all. For example, if you are prone to depression than you should watch more cheerful movies. If your are prone to fear you should avoid scary movies. If you are prone to lust, you should avoid movies that have scantly clad good looking models, etc. You decide and ' if you eye offends you pluck it out' - even things not bad in themselves might be a temptation for you personally.
Having said all this I must confess I sometimes tune God out when watching a movie and this is sin. Then again I tune God out when at work, and even sometimes at Church. Living holy is not easy but at least trying to is better than most. So getting back up after sin and running to God rejoicing in love after sinning is better than pretending we never fall and making a lists of external rules that makes us feel faithful, when our hearts are far from God.
Love must be sincere. Hate what is evil; cling to what is good. Be devoted to one another in love. Honor one another above yourselves. (NIV Romans 12:9-10)
So whether you eat or drink or whatever you do, do it all for the glory of God. (NIV 1 Corinthians 10:31)