The most common and most likely answer to this crossword clue is the 6 plus 4 plus 2 plus 4 plus 2 plus 3 plus 5 letter word THINGS THAT GO BUMP IN THE NIGHT
I've seen this crossword clue in The Guardian
T
H
I
N
G
S
T
H
A
T
G
O
B
U
M
P
I
N
T
H
E
N
I
G
H
T
Buddy explains!
The straight part
We know that "Those are frightful!" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case those are frightful! = things that go bump in the night.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.