It's really no surprise that the stories we tell and share are all truly about some deep seeded anxiety. We are highly developed as a modern species, but that doesn't replace that somewhere inside of us lurks an animal, and those animals are still primarily driven by fear. Storytelling, both modern and ancient, are all about dealing with those fears as a way to shine lights in dark corners.
Horror movies are the most obvious; every single horror movie is about some fear (obviously), and their ability to pray on Fear of the Unknown and Fear of Alone (or sometimes both) is critical to their ability to invoke fear in viewers. We of course remain constant consumers of horror movies because they play with our fear, and what horror movies are popular is equally driven but what continues to make us afraid in an evolving capacity. Take a look at zombie movies, which have a very storied and long history - early zombie movies didn't feature zombies as we have them today, instead they were the traditional Haitian zombies of living men bewitched of their own autonomy and made slaves. This Fear of Loss of Self was very much the theme in White Zombie and on through the first 40 or so years of the genre.
George Romero's Night of the Living Dead made the zombies truly dead: reanimated corpses hungering for living flesh. This is a walking, corporeal reminder of our own eventual demise that we often try and bury or burn to keep it out of sight. We don't want to have our own fragile, decaying truth around, and here it is Fear of Death incarnate shambling after us. That the focus of zombie movies has changed is no surprise; it used to be about dealing with the moments right after an outbreak, when the apocalypse was nigh, but movies like 28 Days Later and TV's The Walking Dead move the story to well after the zombie's first arrival. Fear of Death is still there, but moved much more to the forefront are Fear of Others (think Negan or Cillian Murphy) and Fear of Ourselves (think Rick). When the chips are down (for everyone), how much will they betray each other to put the weak under their yoke, and how much will we betray ourselves and our own morals just to survive?
In the years after 9/11, fear has become a large part of our lives and our pop culture, we wanted all our heroes dirtier and grimmer, because that is how we saw ourselves. Look back to 2003 and 2004 (the earliest years, given long production and release schedules, to be affected), and our movies were Kill Bill, The Punisher, and Man on Fire, where we tried to deal with Fear of Revenge. What would a dogged pursuit of retribution mean to our lives and the lives of those around us?
Horror movies individual fears have always been driven by fears of the moment. It isn't a surprise that The Ring, about a haunted video tape, should come out right when we as a culture was trying to get rid of physical media (and certainly older, "outdated" physical media), and also that the only way to break the curse was to follow a meme-tic, "copy & share" approach that drives the internet (or at least Facebook. A lot of similar trends can often be chalked up to imitations of successful originators, but what is truly fearful is very of the times.
Here's a list of the top grossing supernatural horror movies from the last decade and half, and what are some of the relevant fears:
Annabelle (2014) - Fear of Domestic Life
The Conjuring (2013) - Fear of New Homes
Woman in Black (2012) - Fear of the Distant Past
Paranormal Activity 3 (2011) - Fear that Our Technology Can Not Protect Us
Paranormal Activity 2 (2010) - Same
Paranormal Activity (2009) - Same
The Eye (2008) - Fear of Piercing the Veil
1408 (2007) - Fear of What We Believe Actually Coming True
The Omen (2006) - Fear of Children, Especially Our Own
Saw II (2005) - Fear of the Depravity of Man
The Grudge (2004) - Fear of Unfinished Business
Final Destination 2 (2003) - Fear that Death Will Get Us No Matter What
The Ring (2002) - Previously discussed
The Others (2001) - Fear of Surviving On Our Own
What Lies Beneath (2000) - Fear of Our Partner
Sixth Sense (1999) - Fear of Piercing the Veil
It's easy of course, to point to horror movies though; these things are supposed to scare us, but why are superheroes so popular right now? Of course, hero stories have always had some popularity, the ancient Greeks and Romans told stories of demigods, gods, and mythical creatures doing either stories of immense bravery or supernatural powers themselves, and the tradition carries on. Superheroes (specifically the cape and cowl variety) have been popular themselves since the 30's, with regular consumers, but why do we as a larger culture love superheroes so much now? These are all about Fear of Actually Being Able to Affect Change, very important at a time when everyone has a voice through their Twitter account, but no real ability to do anything, instead creating a cacophony of screaming voices.
Also up for discussion is Sherlock Holmes; reportedly the most portrayed character in all of TV and film, and the current star of two successful TV series, not to mention countless imitators in spirit (House, Castle, John Doe, Bones to name a few). Characters who are often inhuman, both in their abilities of deduction and recall, and also in their inability to easily interact with other humans. Sherlock entered modern culture at a time when science and reason were becoming more mainstream, and a result he is Fear of Knowledge. We now all have a veritable "Sherlock Holmes" of our own, riding around in our pockets (provided we have WiFi or a 4G connection), yet we intuitively understand that reference knowledge is meaningless without interpretation, function, and context.
And that, my dear Watson, scares us.
