Well here are some questions to get the creative juices flowing:
1) How "in line" with perceptions do you want this to be? You could base this entirely off of the traditional depiction of an Unseelie reaper with a rotten head and which
uses a spine as a whip, or you could modernize by trading in the horse for a motorcycle and giving it
less gruesome aesthetics.
2) What role will the rest of the Unseelie court have? Will they be allies to your dullahan? Enemies? What about the Seelie court?
3) How does your dullahan view its role? How does it view humans? Does the mythology around dullahans match the reality it lives with? Will humans play a role in this game at all?
4) What kind of tone do you want this game to have? Is it supposed to be dark and gothic? Black comedy? Heartfelt? A hurricane of puns as you try to get
a head in life?
Also, see
this video for 6 other questions you need to ask for your character. It's a long video, so I'll go ahead and invoke the first two questions of it to give you an idea of where he's going with these questions.
1) Where was he/she born?
We're talking a Dullahan here, so classically this would probably be somewhere in the British Isles. Perhaps your dullahan is an ancient Irish spirit, who watched the Celts be routed when the English invaded. Perhaps in your world the fairy courts were actually involved in the conflict and altered the outcome. Maybe s/he is a young Dullahan, who was born in modern England and whose elders often spoke of the days when people still lived in fear of the fairy courts. Maybe s/he was actually born abroad. A lone Celtic fairy living amongst the vanara, rakshasas and avatars in India. Perhaps they yearn for the land of their forefathers. Perhaps they prefer the land they know.
2) Who are their parents?
Maybe dullahans spring from the aether in accordance to need. In which case what purpose inspired the creation of your dullahan? Perhaps your dullahan was originally mortal. In this case, why is s/he now a dullahan and how do they feel about their current circumstances? Or perhaps your dullahan is the bastard child of Oberon himself (or Titania)? An open secret which perpetually suffers contemptuous snickers mocking their parents. How would someone like this develop? Would they despise their parents? Try to excel to wash away the shame of their birth? Rebel? Act like a model child? Would they have eyes on becoming a full fledged courtier or dismiss it as they themselves were dismissed? There's surprising depth to be found in the simple questions of who the parents were.
It's amazing how these questions can act a springboard for these purposes.