How come films like American Psycho, Fight club, In Bruges are black comedy?

Black Comedy and Satire are not quite two forms of the same thing. Satire is not always funny and is used to convey a message on a topic, while Black Comedy can be a part of a Satirical message. If you are familiar at all with the movie M*A*S*H, it is a black comedy about the Korean War. The Television series of the same name that spawned from that movie was a Satire that contained many of the same elements of Black Comedy, while in the later years took on and presented messages on more modern issues.

That said, as was pointed out in the comments, you need to examine the individual scenes and elements of each movie to understand why they are Black Comedies. The overall message of Life and Times of a Serial Killer may not be a funny one when you watch American Psycho, but as pointed out the business card scene, monologues, chainsaw dropped down the center of the staircase scene, and others are all Black Comedic scenes; humorous views on darker subjects. In Bruges had multiple darkly funny scenes... remember the hitman who chances his mind when his target is about to commit suicide, and the interaction immediately following it? The local girl's boyfriend who gets shot with the blank? The dwarf shot with the dum-dum bullet so the fact that his head is completely gone leads to the incorrect assumption that he is a child? All black comedic moments in a movie that itself is about death and tragedy. Fight Club... too many funny scenes to list, and all of them black. Learning later that the whole idea of the fight club was started by one guy beating the crap out of himself in a parking lot. Being beaten bloody itself isn't necessarily funny, but in this context you can laugh.

Black Comedy.

Is getting shot funny? No. in Pineapple Express, Danny McBride's character being shot multiple times, as well as the way he is shot, and still surviving? Funny. Black Comedy.

It might help to not think of black comedy as being defined as being humor about "cannibalism, rape, genocide, terminal illnesses," but rather to think of it as gallows humor.

Gallows humor is, loosely, defined as humor in the face of impossible situations. The most famous historical example is probably Oscar Wilde, on his death bed, saying "either that wallpaper goes, or I do." In other words, it's not so much jokes ABOUT eating people or cancer or anything likewise unpleasant, but about finding some humor within those situations.

Before we get too uplifting here, remember that the humor can be seen from either side in an "impossible situation" with an agressor/victim.

American Psycho has a number of scenes like this. Remember when Bateman is about to kill his buddy and yet instead of threatening him, all he can think to do is wax poetic about Huey Lewis and the News. It's hip to be square, isn't it? Even with an axe in your hand? Another famous movie example is the bit about chianti and fava beans from Silence of the Lambs. Joking around in a very, very dangerous situation.

The flip, and actually perhaps the more classic side, is one in which humor is found in the the face of the seemingly endless or impossible to escape misfortune of the protaganist. The best (well, I say best, but usually when I say that I just mean my favorite so... :) ) example in film might be After Hours, a movie in which our increasingly desperate hero consistently finds himself in what are (fairly, if lightly) terrifying situations that are also increasingly funny. There's not too much to do but laugh as he tries, and keeps on failing, to escape SoHo.

And Bon makes the other point I would have liked to, but probably more eloquently than I could have, which is, of course, always, always context!