That always gets me too! On the rare occasion that I do watch a scary movie, I watched The Wax Museum recently, I find myself screaming at the tv! Why bypass the front door and head for the stairs when you see someone in your house!? "I'm going to go upstairs and lock myself in the bathroom, he'll never find me there!" And how the bad guy never has to run after anyone. He always looks like he's out for a Sunday stroll, just he and his trusty ax, but somehow after hours of running the victim finds that he is standing there waiting for her, not even having broken a sweat. What also gets me is why no one ever turns on a light in scary movies. The first thing I do when I come home at night is flip the switch.
Movies like that, where, in the end the man and woman survive after seeing all of their friends and family murdered and have been brought closer by the experience, make me shake my head.
...Also, seeing Paris Hilton on film... Another headshaker.