As if there was any other choice for the letter U!
Unicorns have been around for a long time - Ancient Greece spoke of them, they are found depicted in ancient seals from the Indus Valley Civilization, and in fact, the Bible speaks of an animal called the re'em, which many have translated to unicorn!
Unicorns are rare beasts that are a symbol of purity and grace. It's thought that only virgins can catch a unicorn. The horn was also thought to have magic, curing powers.
They also are just pretty awesome...