Do you like your fantastic creatures mysterious, or are you more interested in figuring out where they came from? If you favor the latter approach, then you'll like Chris Laver's The Natural History of Unicorns. Obviously, this is nonfiction.
The unicorn myth is over two thousand years old, and Lavers traces the origin of the story back to Greece, particularly to a writer named Ctesais. Lavers speculates what animal (or animals) could have inspired Ctesais's description, then describes how the myth grew over time. Unicorns snuck into the Bible during translation and had a symbolic link with Christ. (If you've read Diana Peterfreund's Killer Unicorn stories, you'll encounter some of the names she used for various types of unicorns as you read this book.) Although today we realize the traditional shape of a unicorn's horn resembles a narwhal's, other bones, such as mammoth or mastodon, were also claimed to be unicorn horn. Lavers explains where these artifacts came from. Unicorns also influenced European exploration of Africa in the 19th and early 20th century, ultimately introducing the okapi to the rest of the world. The book concludes with examples of tribes that perform surgery on infant animals to produce real one-horned creatures--with surprising results.
The Kindle version of this book unfortunately lacks illustrations, but it was still an interesting read.