While I do agree with APAK that there is a demonic spirit behind such, I do have somewhat of a different perspective.
First, what genre of movies would you like to watch if you stop watching horror? Its tough to find a movie that doesn't have some form of evil connected to it. Not always violence, either. Even Disney and the superhero movies (Disney actually owns the Marvel movie rights). Why, I can even show you evil in Winnie the Pooh! My point is that evil and sin are jyst as dangerous without violence.
Second, if they serve any good beyond entertainment, it would be to serve as a warning and a reminder of the wyles of these demons. APAK is right... We don't have the wolfman, Frankenstein and Dracula (all which may not be as gory, but are still just as evil), today the monsters are us! Humans.
Weak reason... I know. But if they are evil, note what form the evil is manifesting itself in.
Third... You aren't actually rooting for the monster, are you? You recognize it (evil), don't you? If so I suggest you are somewhat immune to it.
Nonetheless... If you are moved to stop watching, by all means it is the right choice. If you are struggling with it, stop! They certainly don't edify Jesus. And if they are a thorne to you... Simply take the thorne out.