I like horror, too. And, yes, there is actually a lot of stuff you could look into, but I’m not sure you’ll find a whole lot of sympathy from people in Catholicism, though. People in spirituality circles usually want to elevate and edify their piety; they want to remain open to the Spirit, and that is absolutely the right attitude. But then there’s a lot of scrupulosity, too.
That said, I did a lot of thinking on this prior to Halloween, while working on some music for a Halloween party. Writing scary music, I realized, there’s a lot of different horror-type stuff out there, so you have to distinguish. There’s suspense horror, comedic horror, reality/documentary horror, religious horror, and the evening news… Trying to write a scary soundtack for that guys party was kind of interesting because I had to try to balance social propriety with what everyone might actually think was scary… Generally, sneaking up behind your friend and taking them by surprise is scarier than most of what you’ll see in a movie…
From a Catholic standpoint… you could watch Exorcism movies - which are probably fictionalized, but still working along the right lines… We all know how it turns out, but The Passion of the Christ is pretty horrible, too… Stuff like The Addams Family or Scream is pretty silly, so I don’t think you would run into any problems with something that is obviously facrical… In the realms of true religion though - there are documentaries on Exorcisms, plenty of stories of Saints who died terrible deaths, and so on…
St Theresa of Avila speaks of looking at our dark side. She say it is necessary in order to confess our sins, but then she also admits the safest “horror story” is looking at Jesus on the cross. I read all her stuff years ago (literally everything she wrote), so its hard to give an exact reference at the moment, but I’ll try to find it.
One Christmas I was deeply depressed and watched the Passion of the Christ about a dozen times. I thought it was one of the most beautiful things I’d ever seen (and still do). Other times I’d binge watch the Exorcist, and friends would ask me - Aren’t you scared?" I chuckled “No, I live only 30 mins from Georgetown.”

Once I wanted to go to a church Halloween party as St Thomas More - because he was beheaded, but then the Priest felt that was going a bit too far - although I am sure St Thomas More wouldn’t part with his palm branch for anything…
But the scariest thing of all is probably the CCC… If you want to make a good confession, you could read up on it… The Vatican’s Chief Exorcist once said - I’m more afraid of saying mass than anything about the devil - because dealing with the devil is like taking out the trash, but going before the living God is for real…