A Song of Ice and Fire is relatively restrained for a fantasy series, but some of its weirdest elements never made their way into the HBO adaptation, Game of Thrones. While there are ice zombies, dragons and assassin shadow demons, there was one creature from the Westeros of the books that may have still been too weird for the world of the TV show: unicorns.
Unicorns are very real in Westeros, and while there are plenty of classic mythical creatures mentioned in the book series, the reality of unicorns stands out as one of the most curious choices made in the worldbuilding. In a strange way, they fit perfectly in their segment of the world, but it may have been a wise decision to leave them out.
Compared to many fantasy series, Game of Thrones was always far more reserved with the magic and wonders of its world. One of the more reserved ways the series integrated fantasy elements was to have fantastical creatures unlike any found in the real world. There were the direwolves, the manticore and the dragons, yet as fantastical as those dragons were, there was one animal from the books altogether weirder with every bit as much a famed reputation in real world mythology.
Unicorns were a subtle but very really part of A Song of Ice and Fire, which fit uniquely well into the world of Westeros. Many of the mythical animals glimpsed in the series have some basis in either real world history or mythology, with both direwolves and cave bears connecting to prehistoric creatures and giants and dragons both being prominent parts of fairy tales and legends. Unicorns have much the same reputation, but the unicorns of the books don't exactly fit the classic ideal of an elegant white stallion with a golden horn.
In the books, unicorns are more like giant single-horned goats that live in the mountainous. They are primarily associated with the island of Skagos in the North, which has little contact with the mainland. Unicorns are known for their ability to navigate steep mountainous terrain, and they are used as sigils by several houses such as the Wdymans, the Rogers, the Doggetts and the Braxes.
Perhaps coolest of all, there are tales of Skagosi riding unicorns into battle, making the mythical creatures more radical than more peaceful depictions. The mounts the Skagosi use are described as "shaggy" by the well-read Samwell Tarly, hinting at just how different they are from the classic image. Furthermore, their horns are renowned as plunder, with Euron Greyjoy returning from his seaside travels with some among his loot, and one of the Free Folk brings a unicorn head fashioned into a helmet with him south of the Wall.
It is not unheard of for sailors to claim the horns of narwhals as unicorn horns, so it would be understandable why many in Westeros do not believe them to exist. However, the reader is treated with a unique perspective in confirming their existence. Leaf tells Bran Stark that unicorns are nearly extinct, and a vision that Jon has even confirms that a direwolf killed one of the few that remains while hunting north of the Wall.
The creatures stand out as yet another fantastic worldbuilding detail author George R.R. Martin worked into A Song of Ice and Fire to craft the unique world, but it's understandable why they did not find their way into the show. Strained for time and constantly looking for details to cut for space, the HBO series often had to pick and choose the pieces of its lore to incorporate. Unicorns proving so tangential to the series' events made them expendable.