As a species we’ve probably been telling scary stories to each other ever since we’ve been able to speak. If you read any really old fairy-tales (not the Disneyfied ones, even the Grimm ones you get today tend to be somewhat cleaned up) they’re pretty freaking scary. Not to mention weird by modern standards. For example there’s one that tells the story of an old woman who gets too close to a fire and gets burned up. And that’s the whole story. The moral of the story being that you shouldn’t get too close to a fire which is good advice to be sure but not really a good story.
It’s been proven time and time again that humans learn best when there’s a story involved and that’s probably at least part of how we began telling scary stories; look out for the monster in the lake because he’ll drag you down to the depths if you don’t stay close to the shore. Before the printing press was invented most of the stories people told to each other were lost to time. But the ones that remained were almost all of them scary. Think about for example Greek myths that remain to this day; we have your basic minotaurs, the Trojan war, the Titans, the 12 labours of Hercules. Sure, they’re all good fun now but for people of the time who really believed that stuff existed they must have been as scary as Jason Voorhees is to us.
Horror writer Michael R. Collings said on an episode of Writing Excuses that horror’s closest relative is porn because they’re the only two genres “designed to elicit a physical response from the reader” and I think he’s on to something. Sure there are other reasons but at the end of the day that’s what it comes down to; no matter how screwed up our lives are, after finishing a horror story we’re basically just happy to still be alive.