All you need to do when you find a mythichal creature (in our case the horses, noted by a blue circle on you mini map when you are in close proximity to one) is lasso it, break it, and then ride it.
NOTE: If you call another horse, such as the War Horse (from the pre-order DLC) you will lose whatever mythical animal you were riding.
*Pestilence is found somewhere in Tall Trees, Manzinita Post, and Aurora Basin.
*War is located somewhere between Benedict Point, Tumbleweed and Gaptooth Breach. I've also heard tell of him elsewhere.
*Famine is located somewhere between Chuparosa and Tesoro Azul.
*Death is given to the player after completing the main story.
I completed the main story having already collected the other three horses, so I am unsure whether having them is a prerequisite for getting Death.
Check the Red Dead Wiki for more detailed information on all things Undead and Nightmarish (aka Undead Nightmare). Most info will be posted there when found.
As well there is a unicorn out there somewhere. Have any other players been able to locate it?