The essence of horror?

I was reading this review of my novella, Dead Man's Eye (http://bookaholicdoesblogging.blogspot.com/2011/02/review-dead-mans-eyes.html) and it started me thinking about what the essence of horror is. Obviously this reviewer was turned off by the fact that people died, and she felt awful for the protagonist being in such dire circumstances. Now it's not a bad review at all, just not that reader's cup of tea for the reasons mentioned, but what is horror supposed to do? According to Wikepedia: "Horror fiction is a genre of literature, which is intended to, or has the capacity to frighten its readers, inducing feelings of horror and terror."

So I guess in that respect the piece has achieved what horror is supposed to do as said reviewer obviously felt something for the protanonist to feel depressed by what happened to her. If the reviewer hadn't felt anything for the main character, then the story wouldn't have carried any weight, so in that respect the story has succeeded. But what do you as a reader think of horror fiction? Should stories have happy, upbeat endings? Do you mind seeing characters die?