Thats a good question. One I have been pondering for a while. Its hard to really answer that as a group, because reasons can be completely personal, or relative to a person in particular. For me, it has a lot to do with expression. People, throughout their years living frequently feel a large and wide range of emotions. Joy, happiness, guilt, love, loss, sadness, depression, anger, etc... but there is one that isnt felt very often. Fear.
Fear is a great emotion. It isnt necessarily dangerous. Its the emotion of vulnerability. I am sure actors and such can agree that people dont scream and run and feel as if their life is ending. Sometimes its short and sweet, sometimes it leads to tears, and sometimes the person freaks out and then thinks its the funniest thing ever. Its a great way to make people feel better. Catharsis is a great thing. Not only for our customers, but our actors as well.
On top of all that stuff, its a chance for actors to do their own thing. Be their own characters and not only that, work in a 1:1 environment with the people we entertain. On a stage, we have to act and try and entertain a large group of people but we dont have the ability to customize our performances to the individual customer.
I also have a bit of a fascination with death and fear, so its great to tempt and experiment with people.
Thats my response anyway, cant really answer for anyone else!
"If I ever hear , "Boo", "Hiss", or "Roar", I will personally kick you in the pants."