Originally a line from The Heart of Darkness, a book by Joseph Conrad set in deepest darkest Africa. After reading the book several times, and seeing Apocalypse Now more often than I should, I believe it is an expression of terror/awe/disgust upon seeing into man's "heart of darkness" - the essential brutality at the root of the human condition. But it also works well for country music ;)

While it's quite dramatic and so easy to parody, (e.g. "The nodes, the nodes!") Kurtz's final utterance is one of the more memorable final lines of all time and has managed to worm it's way into all sorts of places.

More interesting than whether or not we like "the horror, the horror" is what Kurtz (and thus Conrad) meant when he said that.

Possible Meanings:

• A realization of the horrific nature he has found within his own soul and possibly those around him. How conscious Kurtz is of Marlow and friends is questionable.
• The reality of Europe's actions in the Congo and the effect they have had upon the native population (and possibly upon themselves, depending on how enlightened Kurtz is.)