For example, i like movies with really convoluted/branching multi-timeline stories where you dont really have much of an idea of what's going on, and you have to uncover it as you go (e.g., Inception). It makes my head "hurt" in a good way, and i like it because of that. I know plenty of people who dislike those movies for the exact same reason I like it for. And i hear the same "why would anyone want to subject themselves to this" critique about those movies from them.
I couldn't make it through Saw either, and I am not into those types of movies at all. But i can totally see plenty of valid reasons for why a person would enjoy it. It is essentially a really twisted escape room story with death games. And all that violence and gore just ups the stakes of the death games, thus making it feel more grotesque and intense. They might like how uncomfortable that movie makes them feel, similarly to how I like intensely convoluted multitimeline mystery stories that make my head "hurt" in a good way.
They don't enjoy the torture parts of Saw, they enjoy how that movie overall makes them feel (terrified, contemplating certain moral dilemmas, etc.). Like, the point of Saw, from what I gathered, was that it put people who did terrible things to others into those death game circumstances. Which adds a whole other sub-theme of "but does it make it less terrible, if they were a horrible person?" type of a dilemma. And overall, the grotesque nature of the visuals in the movie just serves the purpose of highlighting how horrifying it all is, not to make people enjoy the torture and think "wow, this is kinda fun and lighthearted".
Mind you, I am saying that as someone who cannot really stomach horror movies in general. That doesn't mean that I cannot see plenty of valid reasons for why people might like those movies.
Horror may also have a larger-than-most-genres share of fans who are watching at a much lesser level of suspension-of-disbelief, remaining very aware most or all of the time that "it's just a movie" and appreciating the craft, daring, and skill of the filmmakers, as much as the experience of the film per se.
There's horror outside the comedy-esque thrill-zone, of course, and it tends to be really damn bleak and scarring, even without much gore (It Comes at Night, for instance). The gorey flicks are usually not among the "worst" the genre has to offer, IMO.