Horror films represent a cultural paradox: they evoke fear, anxiety, and disgust, yet audiences actively seek them out for entertainment. Advances in neuroscience provide a framework for understanding this phenomenon. This article examines the neural substrates activated during the experience of horror, focusing on the amygdala, prefrontal cortex, insula, hippocampus, and reward circuits. It also explores predictive coding, anticipatory fear, and the paradoxical pleasure derived from frightening stimuli. Beyond individual differences in sensation-seeking and anxiety, this paper considers the cultural context of horror consumption and potential applications in clinical and educational settings.