The books or the movie?
In the books, he was more of a warrior-type than anything. This brute that cut a swath across the land, so I'd tend towards the book version being a Barbarian.
In the movies, he was more about the powers of magic and what the cauldron could do for him. Yet, based on the sort of setting that it was, I don't see the Horned King being a class that couldn't defend itself. I might consider him a Cavalier who followed the Order of the Tome so he was familiar with knowledge aracana and religion, and with the cavalier's tactician ability he would do well directing his flunkies. Depending on what sort of level you might want to build him up to, he could have a few levels of Summoner and building towards Eldritch Knight?
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On an aside, I was very fortunate that before he passed I actually had a chance to meet Lloyd Alexander. He was funny and warm, and I considered it fortunate that I had a chance to tell him in person how much his books meant to me growing up.
He's one of the biggest baddest evilest guys around. He doesn't follow the normal rules.
How about a Gestalt Antipaladin/Nature Oracle Graveknight?