I'd love to give you a definitive answer, but that's just not possible. Those last words spoken by Kurtz have been the subject of endless debates and discussions about this story. In general, most of the opinions fall into two camps.
The first is that at the moment before his death, Kurtz is hit with the full realization of all of the atrocities that he has committed while in the jungle. Putting people's heads on stakes is indeed fairly horrific. His words could be his spoken acknowledgement that he now realizes how much horror he has wreaked upon the people of the jungle.
The second explanation that I hear the most is that Kurtz's words aren't technically his words. The words might be spoken by Kurtz, but it is Conrad's voice that we are really hearing. The story takes place in the later half of the nineteenth century. This places the story in the middle of the Age of Imperialism. Part of Europe's attitude during this time period was that their western civilization, culture, etc. was superior to everywhere else. There was this idea that western civilization was the pinnacle, and that it would eventually replace all of the "darkness" that existed in the "uncivilized" parts of the world. Kurtz was an agent of that colonization and committed horrific atrocities in the name of progress. Conrad is pointing out to readers that this notion of committing atrocities against other cultures is horrific. "The horror" is the entire concept of forcing your "superior" culture on a different culture.