Horror films can be classified as those which evoke fear, disgust, and unsettling feelings in the audience. There are of course many different types of film that could be classified as horror including the supernatural, gore/slasher, gothic, and of course the zombie film.
Those who enjoy horror usually like to have some of their personal fears confronted or deal with some form of terror so as to elicit a "rush" or "thrilling" emotion in themselves. I think this is the main reason that horror films are produced. Horror can evoke the same thrilling feeling many get when riding a roller-coaster. Each director of horror attempts to evoke that feeling in a different manner and obviously what is going to scare the audience has changed with the times. For instance I find nothing scary about the original Nightmare on Elm Street films. I appreciate them and they are obviously better than the remakes, but I find it hard to imagine if those films were shown in theaters today that the audience wouldn't laugh most of the time (or maybe that's just what my reaction was).