Only three, and not strictly horror, but Bill Paxton has appeared in the Alien, Terminator and Predator franchises. He was also killed by all three (if the Terminator actually killed him by throwing him against the metal gate?).

However the winner could be Lance Henriksen who also appeared in all the aforementioned franchises (if you count Alien Vs Predator as part of the Predator franchise). He also appeared in Scream, Hellraiser, House, Pumpkinhead and Piranha.