The Elder Scrolls V: Skyrim is absolutely packed with secrets and Easter eggs you may not stumble upon even after finishing multiple playthroughs. The Headless Horseman is one such secret that you can encounter randomly on the road.
YouTuber Steve Lee recently posted a video asking Skyrim developers about their favourite creations in the game, and one dev shared how they managed to get the Headless Horseman to work without instantly being considered a dead NPC.
In short, it worked like this: because having no head in Skyrim would make the game consider you dead, the Headless Horseman had to endure his head being blown up repeatedly, every time he is encountered.
His head is destroyed when he spawns in, which happens outside the player's line of sight, so you'll never see the Headless Horseman lose his noggin. Still, it's an interesting and quite unsettling detail to know the ghost wandering Skyrim's roads was only made headless moments before you meet him.