The Horned Lord is an unseen character in Game of Thrones, appearing only in the only appears in "The Complete Guide to Westeros: The History of the Night's Watch and the Night's King" featurette. He was a King-Beyond-the-Wall of the Free Folk.
In the books
In the A Song of Ice and Fire novels, the Horned King, a.k.a. the Horned Lord, was an ancient King-Beyond-the-Wall who raided south of the Wall. A quote is attributed to him: "Sorcery is a sword without a hilt. There is no safe way to grasp it."