Well, when I watch a movie like Saw, I only saw the first one, I think, "that person is stupid, they should have done x,y,z."
So for me it is kind of like, how could I outwit the killer. Sort of the same feeling I get when watching a mystery if I figure out the secret before the end.
Also, a movie like saw has a large mystery element in it. I enjoy solving puzzles.
But movies with just straight up gore, slasher flicks, are less interesting to me. I don't get scared by gore. And when things jump out at you and scare you, it's a cheap scare and doesn't really get to me other than that moment of "Ack!"
I get more frightened when I watch true crime type horror shows. Serial Killers and the like. Then it's more of the first part. I try to think of what I could do the better my situation if I ever found myself in the hands of a serial killer. It's the same reason I watch post apocalyptic stuff. For some reason I enjoy the mind exercise of the worst case scenario aspect of these shows.