Unicorns
While a unicorn has featured in Supernatural, they are said to be non-existant. The unicorn involved in 7.14 Plucky Pennywhistle's Magical Menagerie was not a true creature; rather, it was manifestation of a child's fear.
There have been other references to unicorns. In 2.13 Houses of the Holy, Dean is skeptical when Sam suggests angels may exist:
Dean: (on Angels) Because there's no such thing, Sam.
Sam: Dean, there's ten times as much lore about angels as there is about anything else we've ever hunted.
Sam: Wait, there's no such thing as unicorns?
Dean: Yeah, you know what? There's a ton of lore on unicorns too. In fact, I hear that they, they ride on silver moonbeams, and they shoot rainbows out of their ass.
– Dean and Sam, 2.13 Houses of the Holy
Appearances
7.14 Plucky Pennywhistle's Magical Menagerie
In the episode, an employee of the chain, Howard, is using magic to kill children's parents, with a manifestation of their children's fear. One man is killed when he is impaled by the horn of a unicorn.
Unicorns in Lore
The Unicorn is mythological creature of Europe, particularly popular during the Middle Ages. Its horn was reputed to have healing powers, and the animal itself supposedly could only be captured by a virgin. source
