A one-year-old Roe Deer - nicknamed 'Unicorn' - was born in captivity in a research center in Italy He is believed to have been born with a genetic flaw, the single horn in the middle of his head; his twin has two horns.

Source: http://www.nydailynews.com/lifestyle/pets/galleries/animal_kingdom_oddities/animal_kingdom_oddities.html

Maybe some of those fairy tale stories are based on real life creatures.