I feel like it has something to do with control. If you die in a horror game, it's your own fault. Or, at least, you get another crack at it. You know the game will end only when you win, and you will win. It's meant to be won. Death is not permanent, it's barely a setback these days. So what if it's a gruesome death? You'll be up and about in no time, re-armed with whatever weapons will dispatch whatever horrors, and you're better prepared for the task, mentally. So what if there's a lurking abomination around the corner, or about to jump out at you? You're ready to do what's needed if that situation arises. You're not helpless - you're the farthest thing from it, in fact. You're meant to fight and win. Or run and get away.
Everyone else I know seems to be fine with scary movies, and absolutely terrified of scary games. Some of my friends say it's the fact that the character is representative of you, the player, some of them say it's because it's hard for them to take necessary action when they're scared. Xian, at least, manages the pause button before he hides under a blanket and cries softly.
Scary aside, this is real entertainment, ladies and gentlemen. I handed him my copy of the first Dead Space, sat back with a bowl of popcorn, and almost wet myself laughing while he almost wet himself running scared from necromorphs. Cruel, I know. But it's not like I taped the controller to his hands! He's even the one who ordered Dead Space 2. It arrived in a box yesterday, and he won't even open that box, afraid there's something lying dormant in there. So... this will obviously take a while.
