There's more than one kind of "being scared". Some people like that campfire story exhilaration you get. It's playful and makes you possibly feel on edge or sharp.
Some people just like the myriad of emotions that different stories and evoke and how some story tellers and performances go about evoking them.
What I like about horror most is what I like about any genre of story. Seeing something captured that would be so difficult for me to describe. Or something I'm aware of but I'm not even aware of it. Or something I'm aware of but it's a forgotten notion. Or many many things I'm familiar with faint or vibrant that are portrayed as an amalgamation by a creator, or by chance, that obviously had a lot of influences with things I know or fit my taste.
Or, most relevant, seeing something just really well done. Understanding exactly what they were going for and being able to say "Damn. They did it." Just witnessing art and what it offers or getting to be entertained.