Terror in the Aisles (1984), directed by Andrew J. Kuehn.
This documentary is included on the Halloween II (1981) Blu-ray. Strangely enough it had theatrical release at the time. Hosted by Donald Pleasence and Nancy Allen, who each appear in more than one clip.
Lots of clips of scary films: you can see the list in the wikipedia article. All wider aspect ratios have been trimmed to 16:9.
The montage segments where bits of different films are pasted together are actually kind of fun. As the film proceeds the style drifts away from horror/thriller genre into police action (Nighthawks), crimes against women (Vice Squad), and rape-and-revenge (Ms. 45 (1981)).
Some comedy bits, too. There is a framework of people watching the movies in a theater, but most of the time is spent on the clips themselves.