It is indeed horrifying to think that Bailey and his family are sacrificed for the grandmother's ignorance. This is made all the more hoffific because at first the "old lady" does not react to the damage that she has caused, first for having told them to turn, secondly, for secretly bringing the cat, and thirdly for having called out the Misfit's name.
O'Connor would want us to see the change that comes over Grandma as she realizes that the Misfit is a human being just like all human beings, just like her own son. Once she sees the humanity in him, she realizes her own misguided actions and attitudes about the members of her own family and has a moment of grace -- an epiphany. Even the Misfit sees that change come over her when he remarks, something to the effect -- What kind of lady would she have been if she had always lived it facing a gun? The shocking, yet profound, comment always makes me ponder my own existence.
For me, it was when I realized that this innocent family was being taken one or two at a time to be shot in the woods. It was horrible to imagine those children and their parents and grandmother all in a bloody heap. Very Holocaust--horrifying.
This is a question that only you can answer because only you can say what part of the story affected you most. I could tell you what had the greatest impact on me, but how would that help you? It would be my response, not yours.
I've pasted for you below a link to the home page for "A Good Man Is Hard to Find" group. After you've read the story, if you need help with interpretation, read one or two (or all) of the articles there. I've also pasted a link to the article "How to Read Literature Critically," where you'll find help with making your own interpretations.