Here's a good article explaining that we have the human capacity to "gauge realistically the actual level of threat," and thus experience excitement rather than fear.
Every Halloween, Americans spend millions on scary fun. From haunted
houses to horror movies, teens as well as adults seem to crave a good
People enjoy feeling scared and seek the feeling out because, deep
down, they know they are in no real danger, according to David Rudd,
dean of the College of Social and Behavioral Science at the University
They understand the real risk of these activities is marginal, andRead more at news.yahoo.com
because of this underlying awareness, they experience excitement
rather than actual fear, Rudd explained. This is why people enjoy
going on terrifying amusement park rides and walking through a
Halloween-themed haunted house.