I like horror films so that's what I started out writing. And there's generally a number of smaller production companies out there looking for horror -- so it's also a practical choice. However, at the moment, the well appears to have dried up so it's not so practical now ... though it seems these sorts of trends can change every six months.
In retrospect, though, I think there was a problem with writing horror, or at least focusing so heavily on it. Horror, particularly teen, Freddy and Jason kind of horror, is intrinsically a reactive genre -- and this and other features make it a genre where it's challenging to demonstrate or develop your character building skills.
In fact, through the original Friday the 13th, the protagonists spend the majority of the film not even knowing that they're being attacked. They neither are nor can be proactive simply because they don't realize that there's anything to be proactive against.
But in most stories we much prefer our characters to drive the action -- this is how we get them to reveal their inner selves and turmoil.
This is compounded by the fact that another intrinsic feature of horror is that the characters are grossly outmatched. They can't drive the narrative because they're too busy getting their asses kicked.
A Nightmare on Elm Street actually manages to create a strikingly pro-active heroine in the Nancy character, and is a good film to study for keeping the heroine in the driver's seat -- but this is also a rare feature of the pure horror film.
Another problem with horror films is that you've got a limited amount of time to do any character development with the side characters. After all, at least one of them dies by minute 20. That means you've got 20 minutes to establish your setting, introduce the stars, set up the bad guy, and generate enough feeling for this poor dead-on-page-20 schmuck that he won't feel like a throwaway. Let alone all the other secondary characters who get eviscerated before they ever get a chance to complete even a partial character arc.
The couple family films I wrote on the other hand have plenty of time to see all the characters through to the end and they're almost completely driven by the young protagonist on their quest -- things very conducive to fooling producers into thinking that you're a much more serious-minded and sensitive writer than you actually are.
That said, I'm not sure family films are great for breaking in from outside. I don't think they were 5 years ago -- but I have noticed more small companies looking far afield for family films lately, so that might be changing.
Looking backwards, I suspect thrillers would have been good to develop. They're hero driven, many of the characters stick around for a long time, and there's also a wide market for them -- small companies look for them for DVD features, cable movies, TV movies, and particularly strong ones can also be picked up as theatrical releases.
Supernatural thrillers (by this I mean tamer, wider-audience horror films like The Sixth Sense or even The Ring) also have some of these strengths, but I'm concerned that these need a name star to sign on, which means they need to be higher budget, which means it's harder for someone outside the town to get to the kind of production company that can finance them.