Hi there! The "list' is quite literally a list of the site's most valuable pets. These pets are worth far above their rarity tag and were ranked into tiers by the creator from most to least valuable. The original list has since been discontinued - as many players felt that it was inaccurate due to too few updates. Horror's list was created by the user Horror in hopes of creating a new and accurate list of these high value pets.
Here is
Horror's list.
Horror's list added many pets "as high value" that the list did not have on it. So when someone says they follow Horror's list they are essentially saying they count those newly added pets as list pets and follow the new values Horror has attributed to them.