Matt Cheney perfectly describes the reason I love good horror fiction:
The central pleasure of the sort of horror fiction that I most enjoy results from ambiguity. Such stories exist on at least two interpretive planes at once: the concrete events of the story and then the implications of those concrete events—basically, what the details of the story provoke in a reader’s mind. Such an effect, or possibility, is present in pretty much every text, since ambiguity is inherent to language (as anybody who’s ever tried to put together some complicated object by following written instructions has experienced!), but I’m attracted to those sorts of stories that acknowledge and encourage ambiguity because they carve out the most room for our own responses, our own fears and desires. The story is not complete without the reader, and the story will be at least slightly different for each reader. It’s very difficult to write such fiction, because ambiguity can easily slip into vagueness, one of the great enemies of effective writing. The challenge is for ambiguity to be productive, for it actually to do something in a reader’s mind, to open up options for interpretation without just creating blankness.
... which is also the reason I love his most recent story, "How Far to Englishman's Bay," published this month in Nightmare Magazine. Required reading, folks.