I've been fascinated by monsters all my life. They were one of my favorite things to draw as a kid, and a favorite to pretend to be as a kid. Even now, I love mentally shapeshifting into monstrous forms, especially Demons. Everything from gentle monsters who just look terrifying, all the way to truly horrifying creatures. And of course, creatures and people who look nice but are monstrous on the inside either by choice or not. (One character I have is half Demon, half human; his father was of a species that wasn't supposed to be out of Hell, and he raped a human woman in order to produce a child the Hellmaster wouldn't have jurisdiction over, as revenge against humans for killing his mate. The result of that rape was a perfectly normal human boy, or so it appeared. He was raised human, and is a nice person, but has a Demonic side fighting to escape, resulting in ever-worsening shape-shifts; the Demonic personality within him is powered by rage, and that rage is a poison to human souls, so if were to ever lose total control, his human soul would die. Those Demonic rages can make The Hulk's rages look like minor annoyance by comparison.1)
I was just thinking, I think the reason I find them so fascinating is because I find things like Demons to be aesthetically interesting to begin with - yes, I find beauty in things most would consider hideous. The more horrifying the appearance of the monster, the more interesting I find them. That, and my love of the idea of monsters that are good people probably stems from my annoyance and anger throughout my life at people judging me and others by appearance. (And I don't seem to be the only one. Joss Whedon had both evil demons and good demons; I think one of the most heart-wrenching scenes in a Joss Whedon show was in Angel, when a group of angry, stupid, fearful humans killed a harmless Balance Demon just because it was a demon. Lorne was also one of my favorite characters on that show. Especially since he wasn't welcome in his home dimension any more than he was welcome among most humans.)
Then, too, monsters are BADASS. Nobody messes with them if they don't have to, usually.
I guess it's also just a branch of identifying with The Other more than I do with my fellow humans.