Just finished watching Durarara!! ep. 4, where we get to see the history of the headless rider of Ikebukuro, told by her roommate, an underground doctor for the yakuza. Apparently, Selty Sturluson, the headless rider, is a Celtic Dullahan.
From Wikipedia:
The Irish Dullahan (also Durahan, Gan Ceann) is a type of unseelie fairie. It is headless, usually seen riding a headless black horse and carrying his head under one arm. The head’s eyes are massive and constantly dart about like flies, while the mouth is constantly in a hideous grin that touches both sides of the head. The flesh of the head is said to have the color and consistency of moldy cheese. The dullahan’s whip is actually a human corpse’s spine, and the wagons they sometimes use are made of similarly funereal objects (e.g. candles in skulls to light the way, the spokes of the wheels made from thigh bones, the wagon’s covering made from a worm-chewn pall). When the dullahan stops riding, it is where a person is due to die. The dullahan calls out their name, at which point they immediately perish.
There is no way to bar the road against a dullahan—all locks and gates open on their own when it approaches. Also, they do not appreciate being watched while on their errands, throwing a basin of blood on those who dare to do so (often a mark that they’re among the next to die), or even lashing out the watchers’ eyes with their whips. Nonetheless, they are frightened of gold, and even a single gold pin can drive a dullahan away. The myth may have inspired the Headless Horseman in The Legend of Sleepy Hollow.