The legend of the headless horseman actually originated in Bandon, Oregon, where headless birds headless birds frequent the docks. These unusual birds fly purely by touch, landing only when their feet touch something. Understandably, they don't like to take off because they can't see what's in front of them.

At some point, someone decided that a headless horseman would be much scarier than a headless bird (since a headless bird is more funny than dangerous). Since they couldn't figure out how to carve a bird with a fake face, they decided to use a pumpkin instead.