I think there is an audience for most works. The question is what size of audience are you looking to reach, and how much a particular publication you may be targeting to sell your work to may be interested in your individual work. Plenty of "serialized" horror exists already. The "Saw" series of films is probably one of the more modern examples of it. As a topic of general public interest serialized story telling in print hit its height in the 1950's, and has been losing readers to the more popular method of serializing stories, the TV series.
Today the most popular kind of short form serialized print stories are comic books. They are also on a decline when competing with the venues of the internet and TV. This is not to say you should abandon the endeavor as infeasible, but you have to understand with the current marketplace such a thing is a labor of love more than a sure road to riches. I would instead in your shoes consider the "series" production of novel length works. Those are still popular today in horror, thriller, etc. as evidenced by Stephen King's The Dark Tower series and numerous other authors' works.
As a means of making money though, the whole print "magizine" industry has slowly been dieing the death of a thousand web pages. It's hard to get readers to buy content, when so much is offered up for "free" on the internet (paid for by eye views on advertisements of course).
I mean, does anyone like to read about strange or surreal places in a serialized way? Like tales of the crypt or literary magazines that have continuing stories? I want to know if there is an audience for that genre, because I want to write a serialized horror story series.