Theater of Horrors doesn't change when you can play the exiled cards during your turn. For example, if you exile a sorcery card, you can cast it only during your main phase when the stack is empty. If you exile a land card, you can play it only during your main phase and only if you have an available land play remaining.

Casting an exiled card causes it to leave exile. You can't cast it multiple times.

Damage dealt to a player causes that player to lose that much life.

In a multiplayer game, if an opponent loses life during your turn and then leaves the game, you can play cards exiled with Theater of Horrors.