Whale in horror, caught (3)
I believe the answer is:
orc
'whale' is the definition.
(I've seen this before)
'in horror caught' is the wordplay.
'in' indicates a hidden word.
'ORC' is hidden within 'horror caught'.
(Other definitions for orc that I've seen before include "Fierce goblin" , "Tolkien goblin" , "Tolkien creature" , "fierce monster" , "Tolkien ogre" .)