So maybe there's more to why people like horror stories. Another answer is the answer to a variation on this question that was asked by Boris Karloff of director James Whale during the filming of Frankenstein, as we find out in the making-of documentary on this wonderful DVD from Universal. Karloff was disturbed by the tragedy of the monster, especially the scene in which he pitches a young girl into the water. To paraphrase and amplify Whale's response from the documentary, Shakespeare's best-remembered plays are his tragedies, and the surviving Greek plays that are still performed to packed theaters are their tragedies.
People remember tragedies, they drive the lesson of the play home and leave the audience thinking.
Likewise, the Frankenstein story is a timeless warning against humanity's knowledge exceeding our wisdom, and the tragedy of the story is what makes sure the warning will be remembered. The plot of the original Frankenstein movie should be familiar to those of you who haven't been in a mineshaft for the past seven decades, but this is a restored version of the film that has scenes that haven't see light in almost that long. The DVD guide page is an animated montage of images and sounds from the Frankenstein movie with a flat interactive menu.