A horror mark is a condition which can lead to dire results. A horror mark will result in a small chance each month that a unit will be attacked by a Horror. A unit can be horror-marked more than once which will increase this chance, but there is no way of knowing how bad the mark is. Certain spells will cause a horror-marked unit to be attacked. In battle Horrors always attacked a horrormarked unit first. Stronger horror marks also attract stronger Horrors.
Horror marking is relatively effective, they always sit on their ass for one turn next to whoever summoned them no matter what, but the next turn they'll home in (about 95% of the time) on something that's horror marked. They're not technically horrors, the spell just 'horror spawns' them, which I guess tells them to target horror marked stuff.