I'm not the first woman to ask this question and I won't be the last. Bitch Media, a site that accompanies the magazine Bitch (a feminist response to pop culture) has an interesting post on faux feminism and the lack of feminist horror films. (They don't count rape-and-revenge films and neither do I.)
Are so few horror movies feminist because if you take out "women as victim" you don't have much of a movie? Is Cat People a feminist movie?
Heartless Doll posted a list of 10 top horror movie heroines back in 2008. I doubt they'd have many to add in the four years since they compiled their list. (Is The Others feminist?) Among those they listed were Carrie from Carrie; Wendy from The Shining, Ripley in Alien (which I don't really call a horror movie) and Rosemary in Rosemary's Baby. I don't quite get that last one. It's not like Rosemary prevails, but at least she is more than the usual drippy heroine who screams a lot.
The NBC television show Grimm is about to do an episode based on the myth of La Lorona (the weeping woman who steels children she finds by running water) and I'm looking forward to that because the stories of La Lorona are so sad and gender-specific. There must have been a horror movie centered on this myth/folk tale before but I've never seen it.
We need more horror movies with female villains and even more with empowered females hunting monsters. Buffy the Vampire Slayer can't really be the only one, can it?