Interesting horror short stories can be appealing because they offer a quick and intense emotional experience. You can read one in a short amount of time and still get that rush of fear, shock, or unease. They also often have unexpected twists, like in 'An Occurrence at Owl Creek Bridge', where what seems like a simple story about a man about to be hanged turns into a much more complex and mind - boggling tale.
The suspense. In interesting horror short stories, the suspense builds up quickly. For example, in 'The Most Dangerous Game', the idea that a man is being hunted like an animal on an island creates immediate tension. It makes you keep reading to find out what will happen next.