When the movies began to tell stories they almost immediately migrated to the genre. The first movies beyond a couple of minutes long to actually tell a story, A Trip to the Moon (Le Voyage dans la Lune 1902)and The Great Train Robbery (1903), belonged to what we would now call the Science Fiction film and The Western. Although The Great Train Robbery did not have the classic cowboys and indians setup, it did have outlaws on horses pursued by a posse with a shootout for a climax.
The first film mentioned, A Trip to the Moon, was directed by Georges Méliès, one of the pioneers of film, a stage magician who discovered through double exposure and stop-action photography how to make magic tricks work on the screen as well. Melies had also dabbled with elements of horror early on with such works as The House of the Devil (1896). It was only a couple of minutes long and really didn't tell any kind of a story to speak of except that Mephistopheles produces skeletons and goblins from a cauldron until someone appears with a cross and he disappears. Okie dokie.
As for the birth of true horror, that is to say, a feature film with a story, most film books will tell you that it is The Golem. Of course, I have 
discovered through years of film study that "History of the Movies" books are often poorly researched and repeat the same legends they've heard elsewhere without any verification. For instance, all the Oscars books I own (and I own quite a few) remark that Ben-Hur was the first remake to win Best Picture, despite the fact that as far back as 1935 the winning Mutiny on the Bounty had been made two times prior to the Oscar winning production and two other winners before 1959 were also remakes. And so it is with The Golem. Prior to 1915 Thomas Edison did Frankenstein in 1910. It wasn't good by any means but it was a full one-reeler with a story and horror elements. But Edison's Frankenstein did not capture the public's imagination and spawn a popular trilogy of movies. Also, to split hairs one could claim that Frankenstein is really science fiction although personally I've always placed mad scientists squarely in the horror genre even though I realize that the argument can clearly be made for Frankenstein belonging to science fiction.
With The Golem there are no such quibbles. The clay statue is brought to life not in a laboratory but through magic although once he is "alive" his travails follow Frankenstein's monster closely. The legend existed long before Mary Shelley wrote Frankenstein although it was nearly thirty years after Frankenstein was published that the first narrative Golem story was published so it's possible they both took a little something from each other.
The story of the Golem character was first made into a film in 1915 with Paul Wegener as the title character. Most of this film has been lost with only a precious few stills and frames 
remaining. In it the original Golem statue, imbued with life in the sixteenth century by Rabbi Loew, is found by an antiques dealer who uses the Golem as a servant. But the Golem has eyes for his wife and when he can't have her, he gets a little mad. That's when he starts killing people. It was popular enough to have a sequel and a prequel, with the prequel, Der Golem, wie er in die Welt kam (The Golem: How He Came into Being) proving to be the most popular of all. Paul Wegener directed this time as well and unlike the first movie this one is not lost. A clip of it accompanied by the recent score done by acclaimed guitarist Gary Lucas can be seen here. It tells the creation story of the Golem, how he was given life by Rabbi Loew in the sixteenth century to protect Jews in Prague from persecution.
Despite the film's success no fourth movie was made and once the world was introduced to vampires (Nosferatu, Dracula) monsters (Frankenstein) and mummies there was no going back. Large clay statues brought to life by Rabbi's scrolls and incantations just didn't seem that 
scary. Although the Golem did return briefly, years later in 1966, in the delightfully ridiculous It (aka: Curse of the Golem) with Roddy McDowall. It's not available on video or dvd so you'll just have to get lucky and catch it on tv. But it is there. Turner Classic Movies ran it just last year, much to my delight. You really haven't seen unrequited love until you've seen Roddy McDowell order his Golem to tear down a bridge crossing the Thames to impress the woman he loves, to no avail.
And so as we celebrate all the ghouls and goblins, the vampires and monsters, the mummies and zombies and all the mad-slashers in between let's not forget that mindless statue with the feet of clay. Even Golems need love.
