Ironically I did see a good Objectivist reason for enjoyment specifically of zombie movies.
They tend to usually be more existentialist in tone (I don't really think nihilist is the right word).
Just something about a few rational individuals struggling with the last of their effort to re-establish civilization. Fighting against mindless canibalistic collective hoardes.
One of the final scenes of the remake of dawn of the dead I think needs no explanation... the last few survivors have made a small lead on the group, they make it to the boat which will take them to the place of their last hope,... One of the heroes helps the others onto the boat, the woman he's developed mutual feelings with asks him why he isn't coming and he shows her a small scratch (even the smallest scratch or bite causes infection). He says his heartfelt goodbye and says he just wants to watch the beautiful sunset behind her as they go. He shoots himself before he can become a monster or feed them.
A moment of brightness amid a sea of horror like that speaks dirrectly to me.
there are plenty of reasons to despise horror (especially at it's worst) but that is my reason for finding something worthwhile in it.