Because that's what's fun about them. Granted most horror movies do a bad job in the fear and suspense department, usually replaced by overgore, and some others take themselves way too seriously, with these outrageous concepts, but for the most part, horror movies were designed with the general audience in mind, especially young people, to shock and scare them all the while having fun, and it's better watching one with other people, right? It branched every which way though, and horror movies and the paraphernalia which pertains to them have become hobbies, obsessions and even walks of life for many, making it a section all its on off the film industry, so it's pretty easy to think that the original concept of horror movies today is an abnormal reaction when compared to weirdos like me who watch them all the time, but I don't think there's any specific reason why you're like this, other then that you're not conditioned to how shallow, repetitive and simple they can actually get. The initial concept I'm speaking of I think came out in the late seventies and early eighties, but there's been horror films before that, and you have all those obscure foreign ones that make people puke, so hence the confusion. Would love to be corrected if I'm wrong though.

You CAN watch a scary movie without anybody. Just force yourself to do it. Tell yourself it's not real and nothing bad can happen to you. Good luck.

Sounds like you are a cuddler, nothing wrong with that.