Demon Horror are a type of melee attacker that is sometimes unlocked when you buy a large amount of rubies during an event. You can also earn them by being in the top 50/100 (this top depends on the level category you are in) of certain events like the "Foreign Empire" events and occasionally during the nobility events. The easiest way is getting it in the mercenary camp for a large amount of gold depending on your level or having a level 3 native village in fire peaks. They will also pop up on occasion for log-in bonuses.
They are the third most powerful melee attack unit in the game, the best being the renegade cave smasher. These warriors can take out most melee defenders when fighting one on one, which is uncommon, because defense soldiers usually have better stats then attack soldiers.