I enjoy them, though I prefer horror games where the player is made to feel helpless over ones where they are empowered. I remember having an argument with a friend about whether Devil May Cry constituted as a horror game and I disagreed with my friend who considered it his favorite horror game. My argument was that it's difficult to feel "horror elements" when your main character can totally kick the monsters ass and will call him a sissy mama's boy while doing it.

So games like Fatal Frame, Silent Hill, Siren, and some other obscure series I tend to like though I have not had the time to play them all.