There are many places within Mary Shelley's novel Frankenstein which illustrate the theme of horror present in the novel. Many readers have different ideas of what is horrific. That said, one reader's understanding and justification of horror may not match another reader's.
Perhaps the initial place where horror is first seen is found in chapter four. (Given I am not sure what edition is being used, chapter references will be made.) Chapter four is the first place where the physical nature of the being is detailed. It is here where Victor first begins to describe the being.
I resolved, contrary to my first intention, to make the being of a gigantic stature; that is to say, about eight feet in height, and proportionably large. After having formed this determination, and having spent some months in successfully collecting and arranging my materials.
Not only could a reader find the large stature of the being horrific, the fact that Victor describes his "parts" as materials could frighten a reader.
Chapter five is where the being first comes to life. Again, Victor continues to describe the physical nature of his creation.
His limbs were in proportion, and I had selected his features as beautiful. Beautiful!—Great God! His yellow skin scarcely covered the work of muscles and arteries beneath; his hair was of a lustrous black, and flowing; his teeth of a pearly whiteness; but these luxuriances only formed a more horrid contrast with his watery eyes, that seemed almost of the same colour as the dun white sockets in which they were set, his shrivelled complexion and straight black lips.
While some descriptions are given regarding the being, much is left unstated. The effect of this is that the reader is able to create a picture of the being on their own, limited only by their own imagination. Given that the feeling of horror is left to the individual, the horror felt here lies in the creative power of the reader's mind.
This chapter is of the greatest importance given it mirrors Shelley's nightmare which brought about Frankenstein. Shelley, in a challenge compacted between herself, her husband, Lord Byron, and John Polidori, was the only one successful in creating the ultimate ghost story. Given that her nightmare utterly frightened her, she believed that the story would also frighten her readers.
Another place where the theme of horror is evident can be found in chapter seven. Here, readers come to find out that William, Victor's young brother, has been murdered. The death of the innocent child shows the theme of horror in the novel. Readers may find the death of William, and the subsequent death of Justine, horrific in nature (speaking to the theme).
The best way to find themes of horror is to actually read the book. There are many instances. Victor becomes isolated as he begins down the road to creating life. The moment that life is created. When he sees his creation hovering over his bed. Victor's abandonment of his creation. The creation's attempt to integrate into society by first going to the blind man and the reaction of his family. Seeing the creature on the ice and by the boat and his eventual encounter with the narrator. Take your pick. This book is a classic in part because it rings true today. Many movies are made around the theme of creation and then abandonment. You just need to bring it all together when answering the question.