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.