I am not a horror lover.
Something about those terrifying movies just drives me mad. Some people love that. Some people thrill at being frightened: the fear remains mostly superficial and is brushed aside when need be, leaving behind a clean slate and a desire to do it all again.
For me, it just leaves paranoia and paralysis as I squish my limbs into a corner, hiding from the ghosts, zombies, birds, etc.
Once, during college, Spousal Unit tried to make me watch Evil Dead with him. Anyone who knows anything about Evil Dead is aware that it's a terribly made film, and most horror lovers view it as a comedy rather than a true horror. They sit down with a fabulosity of friends to watch the ensuing "hilarity," munching on their popcorn and clutching their guts in laughter. (There's even a musical version.)
Well, that was more or less Spousal Unit's reaction to it. I squished quietly into the corner, as far from the TV as I could get. At the scene where a certain character is possessed, starts predicting cards, and has a non-puberty voice change, I whispered, "Can we please turn this off and do something else?"
Scary movies make me turn on happy music and all the lights in the house, while running around locking every door and singing at the top of my lungs to frighten away the Bad Stuff. Books, for some reason, are another matter.
I've been able to read some pretty awful stories. That scene with rats at the end of 1984? No problem. Freaky stuff, but I still read it. The Hunger Games? Some intense moments, and I still enjoyed the whole series.
Part of the reason it's easier to read frightening moments has to do with the ease of setting it aside, I think. You can put down the book for a few minutes (or days), focus on something else for a while (like rainbows and heart-shaped balloons), and then come back to it when you're good and ready. You can even skip ahead a page or two so you know what's coming. It's a more casual experience.
Movies force you to be fully engaged for two hours as the characters get lost in the woods, shack up at an abandoned cottage, leave the doors wide open, and get slaughtered in their sleep. They give you visuals that depict exactly how long the killer's knife is, precisely how young and beautiful (and stupid) the couple is, and make you all too aware of how many doors in your house have locks.
While reading, I can vividly imagine what is going on - or I can turn it off. I can choose to only imagine so much, which I'm sure is a natural defense mechanism.
On the other hand, Spousal Unit's situation is reversed. He thrills at John Carpenter, The Exorcist, and anything with creatures eating/losing flesh. But that scene at the end of 1984? No way. And most people I know prefer one or the other: reading or watching frightening scenes.
(Don't get me wrong: I still don't read horror, aside from the occasional Edgar Allen Poe. But some scifi can be pretty intense. Just try The Windup Girl and you'll see what I mean.)
I found a great article about why people watch horror movies. I found another one about why they read horror. They both come down to catharsis, but what I really want to know is what makes a person more frightened by one than the other. I want to know the psychology behind the things that make us jump at the bumps in the night.
I'd rather not have to eat someone's brain to understand it.