Things like haunted houses and horror movies are so popular because it's honestly fun to be creeped out once in a while. These things allow us a "terrifying" experience with very low stakes, which makes the fear only last for a night at most.
In reality, nobody wants to be actually scared. When creepy experiences also have high stakes, they become less than enjoyable to say the least.
Encountering things more frightening than any film in your real life is deeply unsettling, and can end up being an experience that haunts you forever.