Preheat the oven to 350 degrees F. Pierce the potatoes a few times with a fork. Place directly on the center oven rack and bake until tender, about 1 hour. Let cool slightly.
Increase the oven temperature to 450 degrees F. Halve the potatoes lengthwise and scoop out the flesh, leaving a 1/4-inch-thick shell; reserve half of the flesh in a bowl (save the rest for another use). Brush both sides of the potato skins with 2 tablespoons melted butter and season with salt and pepper. Arrange skin-side up on a baking sheet and bake until crisp, about 15 minutes.
Meanwhile, mash the potato flesh with a fork; mix in the cheddar, muenster, parmesan, 2 tablespoons horseradish and the remaining 1 tablespoon melted butter. Stuff into the potato skins, return to the oven and continue baking until golden, about 8 minutes.
Mix the sour cream with the remaining 1 to 2 tablespoons horseradish. Spoon on the potato skins and sprinkle with the scallions.