First, horror is closely related to fantasy. So it has a similar heart hole in that horror taps into our need not only for something greater than ourselves, but the need for something or someone worth fearing.
Second, horror points to our desire for truth. That might sound a bit surprising, but consider: the whole point of horror is to strip away all veneers in an attempt to see things as they are, to discover what is real in the world. So it fills our desire to know what is really true.
Therefore, we need to read horror to remind us that we will should seek the truth, and that someday we will know the truth. For though we currently see in a mirror dimly, knowing only in part, someday we shall know fully, even as we are fully known. (1 Corinthians 13:12)