I can only speak from personal experience, but as a child, I found scary/gory films and books profoundly cathartic. They helped me come to terms with some of the seriously dark things I went through (including the fact that my parents were in a cult for several of my early years - and the darker elements thereof). I'm also a Christian, by the way.

Here are a couple of articles that explain my thoughts a little more, both on the issue of children, and concerning the horror genre in general, if you're interested.