Many people really hate scary movies, but at the same time, they love to see them for the scare factor alone. A way to stop getting scared is by watching the non-gory ones, the ones with a great deal of suspense, and slowly move into the most frightening and gory ones. Keep in mind that gory does not mean scary and the movies are not necessarily scarier when they're gorier. Some horror movies without blood are actually scarier than some of the really gory horror movies.

[edit] Steps

If your really scared, you can watch the movie through your fingers.
Cover your eyes when scary parts.
Peek through your fingers slowly, and then cover your eyes again.
Keep saying to yourself, "This is not real!"
Watch the commercials on how the movies were made. Notice how the scenes were created so you can know how unreal the movie really is.
When there is suspenseful music playing, brace yourself. Something loud, horrific and gory is probably going to happen.

[edit] Tips

Never watch alone if movie is really scary.
Look away when someone is being killed.
The best way not to get scared is just not to watch a horror movie.
Try laughing at all the unrealistic parts. (Example: Bad effects for blood, unrealistic bodies, etc.)
If your easily intimidated, then buying drinks and snacks probably isn't the best idea.

[edit] Warnings

If you find yourself not being able to fall asleep or have to sleep with the lights on, after watching a scary movie, then maybe you should just not watch one.
Seizures can occur to people that have quick reactions to scary things. Know about this before watching it especially the horrific thrillers. (For example, a saw.)