How do we feel about horror?

I'm a fan of Lovecraft. The idea of madness as a safe harbour from the truth scratching at the veneer of what we think is reality fascinates me. But I'm talking about the kind of horror that actually gets to you. For me, thalassophobia and megalophobia titilate me in the scary way. Videos of the deep ocean with the threat of giant monsters are watched with my phone screen not facing me directly. The idea of being hunted in a desperate environment with limited mobility feels like how nightmares feel, with you running and never getting anywhere.