Who doesn't love horror movies? Actually I am not a huge fan, but love their place in American sub-culture. The first horror movie was Le Manoir du diable (aka "The House of the Devil") in 1896. It was two minutes long and was released on Christmas Eve, which I think is in keeping with the theme of horror.
I'd link you the movie, but really unless you have a thing for badly painted scenery, cruddy costume, and late 19th century black and while film effects (creating the famous "jump cut transformation") I'd say its a waste of your time. While I acknowledge the history I don't think there is much besides archival interest in this flick.
Of course, I just spent more time typing about why I am not linking it than it would have taken me to do it, so here it is (note-it is in French).