A good friend of mine who buys and sells retro toys and video games gave me this figure carded one time when he was clearing out inventory that wasn't moving. He's not a bad little figure and features a reasonable likeness to Christopher Walken.
The Horseman comes with three important accessories, and none of them are his horse. I'm not sure if they released a horse or a deluxe Horseman with Horse. This version includes his axe, his own removable head, and two trophy heads (attached to each other). As with all McFarlane toys the Horseman features awesome paint apps and a decent, yet oddly limiting articulation.
Our Headless Horseman is actually a 19 year old girl name Monica. She does a great job of riding her horse up and down both sides of the wagons wielding her axe or sword. People always seemed shocked that the horse is real.