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"