The recent DLC for Red Dead Redemption brought many new things including a slew of Mythical Creatures. Despite the word Mythical these creatures show up often so don’t chase one into Undead central if you don’t have to.
You can run into War and Pestilence very early in the game, as far north as Tall Trees. Famine only spawns in Mexico, generally in the neighborhood of Nuevo Paraiso. Once you’ve found and broken the other three horses, Death reportedly has a chance to appear anywhere in the game; you’ll also receive Death automatically for completing On A Pale Horse, so you’ll have him to ride around during the post-game free-roam mode if you didn’t get him already.
You can rope and break the Horses of the Apocalypse like any other horse, although they’re faster and more aggressive than a normal horse would be. War is constantly on fire, and ignites any undead or human you run over, while Pestilence is nearly impossible to kill. (That’s not the same as impossible, though. High explosives or long falls will kill Pestilence like any other horse. On the other hand, a cougar can gnaw on Pestilence all damn day and won’t really do much damage.) Death automatically “headshots” anything you run down, causing their heads to explode.
What does Famine get? Nothing. It’s a horse. Go home.
All Horses of the Apocalypse also have infinite stamina, and do not react when attacked. This makes them great for exploring the wilderness, since an undead cougar won’t be able to carve them out from underneath you.
Once you break all four Horses, you’ll receive Death’s deed and a challenge to run down and explode one of each type of undead—normal, Bolter, Bruiser, and Retcher—while riding Death. Complete it, which pretty much involves riding straight through Jorge’s Gap, and you’ll receive the deeds to the other three Horses.
This won’t be to hard since you’re asked to track down and shoot five Sasquatches as part of the Birth of the Conservation Movement survivor mission, which pops up in Tall Trees once you’ve saved Blackwater at the start of the game.
The Chupacabra only spawns if you’re on the rank 5 Undead Hunter challenge. It appears to be native to eastern Mexico, and frequently shows up around Torquemada.
Once you find and break all four Horses of the Apocalypse and kill the Chupacabra, the Unicorn has a chance of appearing in the same area as the Chupacabra. Unlike other mythical creatures, you will not receive an announcement that the Unicorn has appeared. You just have to follow the rainbow.
The Jackalope, a rabbit with antlers, appears in many places, here are a few:
Odd Fellows Rest
Often foxes or dogs are chasing the rabbit/antelope hybrid so look for commotion. You may find these only in the early morning, 7:00 — 3:00 PM.