One classical defniition of sin is "that which seperates us from God". This is why many of the "is this a sin" questions must be answered with "that's between you and God".
A lot of this will depend on what horror novels you're reading. If you're looking for Stephen King type suspense, *I* don't think there's anything in Stephen King that *I* have read that has separated *me* from God. If that is what you like, I suggest you go to your local Christian bookstore and pick up anything by Ted Dekker or Frank Peretti. Both are Christian authors who write books based (usually and mostly) on Christian themes.
So, to answer your question a little more succintly, no, I don't think reading horror novels in and of itself is sinful. If there are other things going on, such as an innapropriate response to the reading, etc., then that really is something that you need to think about and discuss, as ephriam wrote, with God.
Blessings,
Jonathan