The Unicorn in the Garden is a very short story by James Thurber. It’s really a fable rather than a fantasy story but a) I love it and b) it’s got a unicorn in it, so I’m putting it in.
It’s about a man who steps into his garden one morning to find a unicorn eating his roses. When he tells his wife she decides he’s gone crazy and sees an opportunity.
I wont tell you any more because I don’t want to spoil it for you. It is quite beautifully written and is wonderful example of short fiction. I read it in a collection called “The Thurber Carnival” which I heartily recommend. It also contains some of my other favourites of his including “The night the ghost got in” and “The bear who let it alone”