I am easily affected by stories and environments, so I am easily enraptured and terrified by the dark, half seen things flitting about the screen. I jump and scream at all the appropriate points. I occasionally gibber at the characters not to do things. I've never seen a horror film in theaters, and doubt I ever will if only out of consideration for other movie goers.
I also have a very visceral response to movie violence. The wet noises of tearing skin and blood make me think of me myself coming apart and every time I see or hear someone hurt on the screen, I can imagine with great power what it would be like to be hurt like that myself.
In weird contrast--I'm actually quite good at handling pain in real life. I've broken a dozen bones and walked to school with a fractured leg. It's just in movies, imagining the pain and fear without being able to do anything to influence the source. And without the relief of experiencing the pain and having it be over and resolved...oh gosh it gets to me.