UPDATED thanks to xMANNY FRESHx
There are 12 patrolling horrors in total, 2 of them spawn in each of the 6 districts:
Arena District
Gorgoloch the Destroyer - (Flesh Atronoch)
King Khrogo - (Daedroth)
Arboretum District
Lady Malygda - (Spider Daedra)
Ysenda Resplendet - (Harvester)
Elven Gardens
Zoal the Ever-Wakeful (Watcher)
Screaching Matron (Clannfear)
Memorial District
Volghass (Flesh Atronach)
Nunatak (Ice Atronoch)
Nobles District
Baron Thirsk (Grievous Twilight)
Amoncrul (Bone Colossus)
Temple District
Immolator Charr (Oghrim)
Mazaluhad (Lich)
You can check your progress under the DLC in your Achievements, under the imperial city you will get a list for Horror of Horrors