Depends on what you mean by horror movie. It would seem to me that with rare exception, any 'horror' movie made in the last thirty years or so would at least be an occasion of sin, and not necessarily because of the 'horror' but because of whatever else goes along with it-- impurity, blasphemy, etc.
There is a profound and substantial difference between horror movies of now and horror movies of then. Horror movies now (stuff like Saw, Hostel, etc.) are profane to say the least. It's as if each one (judging from the trailers, at least-- I haven't seen one of these movies for a few years) is simply an attempt to out-gore and out-sex the last one.
On the other hand, I think that certain horror movies (from, say, the sixties backwards, possibly even some in the seventies) contain nothing morally objectionable. I'm thinking particularly of Hitchcock. Now, a lot of moderns would probably say he is more suspense than he is horror (and by todays standards, where horror movies are called such based on how many different ways someone can be decapitated, they would be correct) but I would still call him horror. I'm thinking in particular of Vertigo and Rope. I haven't seen all of his movies, so I'm not endorsing him across the board.
Another 'benefit' of older horror movies is that the bad guy is actually bad, and the good guys are actually good. This modern concept of having a cast full of anti-heroes isn't really Catholic. You don't really encounter that dynamic in older movies.
I've never been a big fan of horror to begin with, and certainly not modern horror, even when I wasn't practicing the Faith. But I do know that this stark contrast exists between what should really be called two separate genres, 'old' horror and 'new' horror.