I found a ghostly headless horseman riding on the road between Markrath and Solitude at night. I tried to talk to him but he was there and gone before I could (I was on foot, he was on horse obviously).
I'm sure if you talk to him he gives a quest or something interesting, or if you follow him he leads you somewhere. Just an FYI.
"You lack the requisite spine and testicular fortitude to study under me"
"You do not know the first note of the music that moves me."