Not just a horse with a horn. Cannot repeat that enough. Accidentally ended up looking kind of like a llama, especially the ears, but what are ya gonna do?
IIRC, in early stories they could only be approached by virgin women, and what happened if you weren't a virgin woman varied. In some stories they were hostile, sometimes not.
Link
RedSavage
Aren't unicorns like vicious in some stories?
Maybe I'm thinking of SantaClause/Krampus.