That's part of the joy of horror, put characters in life or death situations and you the viewer is bound to see something more that the character should do. Or because of our privileged knowledge of the plot, we know what they should not do. It doesn't mean we love these characters any less, we simply wish they knew a bit better...
**Beware Los Spoilers**
Sarah The Descent (2005)
Who doesn't love The Descent? It's a great movie, not just a great horror movie. But man, don't you wish Sarah knew just a little bit better? When your friend and your husband keep making mopey eyes at each other, you divorce the dirt bag. When your friend says, let's go spelunking! You say, I think a spa retreat would be great considering I'm the only survivor of a car wreck that killed my only child and my dirt bag husband.
Ben The Night of The Living Dead (1968)
Who doesn't like Ben? Ben is awesome. He's reliable and really tries to be proactive but perhaps a bit too proactive when it comes to the men with guns....
David The Mist (2007)
Now The Mist is a very tricky movie. The ending has infuriated more than a fair share of its audience. David, escaping an increasingly dangerous situation in a supermarket where he and his young son have taken refuge after a mysterious mist filled with monsters descends on their town he is forced to make a truly terrifying decision. He makes the decision he believes to be best only to have it thrown back in his face. Hindsight is indeed 20/20.
Dean Corso The Ninth Gate (1999)
What the hell Johnny Depp? I'm enjoying this awesome satanic movie and then the end? WHAT WERE YOU THINKING?!?!?!? All that time spent acting and character developing! WASTED! I don't care how hot Roman Polanski's wife is, your character should not be wandering through a gate, let alone nine, to meet Satan!
Wendy The Shining (1980)
Wendy, Wendy, Wendy.... I admire how much blinding love you have for your family, but for reals, you should have locked your husband in that closet a lot sooner. Also, don't let your husband make-out with sexy ghosts.