The first descriptions of a unicorn were traveller's tales of Africa where there were wild "horses", with a horn in the middle of the forehead. Rhinos!
These stories were told amongst many traders, and Viking traders (Norsemen) had a great idea. Sell the "tusks" of the Narwal as Unicorn horns! It went on for years; always adding to the myth.
Queen Elizabeth I, once paid a fortune for one of these "Unicorn horns", to a Norwegian fisherman.
Another myth was that Unicorns could not be tamed, nor would they approach any man.
Since the horn of the unicorn was thought to be a powerful aphrodesiac the unicorn was hunted. The hunters would use a female virgin as bait. The unicorn would see the bait and could not resist her lure. The unicorn would lie down beside her and fall asleep and then the hunters could kill it.
The legends of the unicorn may be based on stories told by ancient travellers about the rhinocerous. Interestingly enough the horn of the rhino is also said to be an aphrodesiac and rhinos are now almost extinct in the wild because they have been hunted so heavily for their horns.
It's in Mallory and a number of other Medieval sources. One of the most famous of the great Medieval tapestries is the "Ladyand the Unicorn". You can see one of several different tapestries at the museum in Cluny, France at this link: http://www.travelfranceonline.com/cluny-museum-of-the-middle-ages-in-paris/
Some accounts of merchants in the Middle East thought this horn was the third-eye, of the rhinos, and would use this to open their third eyes.
I thought it was interesting because some accounts of travelers described them with "an arrow through their heads" and naming them immortal for surviving an 'archer attack'.
That nonsense of using a Rhino horn, or other pointed object, to open an actual "third eye", was written by a self-styled "Tibetan Monk" (Really, a Canadian!) called T. Lobsang Rompa. It's fiction!