Even though a horror flick isn't what you think of when it comes to V-day movies, a girl appreciates the fact that her man knows her. A typical love movie would be great for a first date because you don't know the girl, you know? Personally, there is nothing more attractive to me than a man who knows what I like.
Then again, you could just be up front ... and tell her your plan to see the horror movie. Communication... it's always a good thing. :P
Good luck!
-LiLi