Before answering this question, it's good to remember that being a Christian is not about a list of dos and don'ts. We should not think that by refraining from certain things God will be pleased with us. He has already made us righteous through the blood of Jesus so we have nothing to "perform" to look right before God.
I'd like to start off by quoting from Romans 12:
I appeal to you therefore, brothers, by the mercies of God, to present your bodies as a living sacrifice, holy and acceptable to God, which is your spiritual worship. Do not be conformed to this world, but be transformed by the renewal of your mind, that by testing you may discern what is the will of God, what is good and acceptable and perfect.
The first question to ask here is why does Paul plant the word "therefore" at the start of verse 1? Well, the answer is that he just spent the first 11 chapters of Romans explaining pretty much the gospel: Man sinned and God chose to provide forgiveness through Jesus Christ. Man did not need to work for salvation nor could he earn it but Jesus willing did it for us. At great cost to himself, God showed his justice and his mercy through the crucifixion of Jesus. How righteous God is. How amazing his love for us.
THEREFORE... our response is to present our bodies as a living sacrifice to God. Wait a minute! Jesus is the final lamb. What other sacrifice is needed? The answer: none. Paul is not asking for a sacrifice for sin. Paul is saying that not just our minds but our bodies (and what we do with them) belong to God and all that we say, do, think and act should go towards worshiping him because he has done so much for us. In other words, though our salvation was free, we now should spend our livers joyfully glorifying him.
This act of glorifying God is our life's joyful work. Every part of our lives should be used to make God look good. When we enjoy God and make him look good, we are happy.
You make known to me the path of life; in your presence there is fullness of joy; at your right hand are pleasures forevermore.
The psalmist here says that with God, there are pleasures forevermore. When we see the world through God's eyes, we become full of joy. We see the food that we eat as being created by him and provided by him. We become thankful and praise our Heavenly Father for the meal. We look at our health check up results and recognize how God is sustaining us and we praise him for his lovingkindness. When we watch a nature programme on TV and see the wonder of nature, we marvel at God's creative design and thank him for the amazing world he created for us. In other words, our whole life becomes worship. How we eat, what we say, how we dress, how we live and even... what we watch should be focused on glorifying God.
We can work in any given situation so that we enjoy God's fellowship through it and we can also help others see God's glory. Or we can take the same situation and become selfish and God-dishonoring and cause ourselves or others to stumble and the glory of God becomes smeared. For example, we can take a family dinner to celebrate a work promotion as an opportunity to thank God for being sovereign in the office and letting the family enjoy food that God has provided or we can talk about how hard we've worked and to earn the promotion that now allows the family to eat fancy meals. The first way honors God, the second is dishonoring. We can watch any movie or TV programme and afterward to reflect on the values in movie and see how those stack up (or not) against God's word. We can take the movie as a cautionary tale of what happens when pride gets in the way of forgiveness, etc. Or we can let the movie erode the moral compass that God is building in our lives, we can forget that God is sovereign and instead we absorb the worldview of the movie.
This leads us to the question of horror movies. The scriptural lens that I just described can help us make a decision on whether or not to watch any particular movie (not just horror). Take an example: Juno. I recently watched 30 minutes of it and couldn't stomach more. The values that the characters were expressing and the decisions they made were causing harm and hurt to everyone around them. I changed channels pretty quick. I felt that nothing in the movie was God-honoring so rather than filling my mind with it, I changed channels. Likewise with films about adultery and divorce or with films laden with sexual images, I avoid them because they are filling my mind with thoughts that rob me of my enjoyment of God. The so-called heroes of such films make poor choices and believe in God-dishonoring worldviews so we didn't want all of that filling our minds.
Now let's take a horror movie like Shaun of the Dead. It's a silly horror comedy. I wouldn't let my younger boys watch it because they would get nightmares so that would be foolish of me to let them view it. I myself might watch it and laugh and then forget about it. But if I know the movie would weaken my faith and cause me to falter, I would avoid it. These days with sites like IMDB, you can watch trailers and read reviews to decide if a movie is worth watching from a Biblical perspective. Sometimes, if there are characters in the movie that make poor choices, my wife and I would highlight that over dinner with the boys and talk about what we would do if we were in similar situations. That's one way to fight back on the worldly influences: shine the light of the gospel on the story.
In the past, I used to enjoy horor movies too. But in recent years, I find that there are other types of programmes that are enjoyable and help me to think of life from God's point of view. I have filled my mind and heart with such entertainment and I've lost the taste for horror movies.
Finally, brothers, whatever is true, whatever is honorable, whatever is just, whatever is pure, whatever is lovely, whatever is commendable, if there is any excellence, if there is anything worthy of praise, think about these things.
Rather than providing a yes/no answer to what appears to be a simple question, I wanted to demonstrate a framework that helps us make good decisions in our entertainment choices and to use those entertainment choices to show ourselves and our children, what God thinks of us and how we can live to honour him all the more.