Hmm. Personally, I hate horror movies, and I find nothing erotic about them. I was subjected to horror film rentals at home from a very young age, since my parents didn't think it was necessary to censor an R-rated slasher movie for a 5 year old. It made me very irrationally scared of a lot of things as a kid (still scared of dark bathrooms, as it is)... and I have never enjoyed horror films as a result.
I also do not like receiving or inflicting any kind of pain, though my loss of control is something I do enjoy (especially because I tend to have a rather dominating personality most of the time). No erotic association whatsoever.
Just don't make your 5 year old watch Poltergeist or Rosemary's Baby or every single one of the Freddy Krueger movies...