Zellix, Sanity Flayer

Hive Mind — Whenever a player mills one or more creature cards, you create a 1/1 black Horror creature token.
{1}, {T}: Target player mills three cards.
Choose a Background (You can have a Background as a second commander.)

Umbris, Fear Manifest

Umbris, Fear Manifest gets +1/+1 for each card your opponents own in exile.
Whenever Umbris or another Nightmare or Horror you control enters, target opponent exiles cards from the top of their library until they exile a land card.

Chasm Skulker

Whenever you draw a card, put a +1/+1 counter on Chasm Skulker.
When Chasm Skulker dies, create X 1/1 blue Squid creature tokens with islandwalk, where X is the number of +1/+1 counters on Chasm Skulker. (They can't be blocked as long as defending player controls an Island.)

Captain N'ghathrod

Horrors you control have menace.
Whenever a Horror you control deals combat damage to a player, that player mills that many cards.
At the beginning of your end step, choose target artifact or creature card in an opponent's graveyard that was put there from their library this turn. Put it onto the battlefield under your control.

Dimir Keyrune

{T}: Add {U} or {B}.
{U}{B}: Dimir Keyrune becomes a 2/2 blue and black Horror artifact creature until end of turn and can't be blocked this turn.