The unicorn is mostly Celtic myth and folklore, so that would be the place to start (and with the possible exception of Greek, unlikely to find much about it in other mythologies around the globe). I recommend you check out The Element Encyclopedia of Magical Creatures compiled by John & Caitlin Matthews, as there is a long entry for unicorns within. Also, you could look in pretty much any Celtic mythology or folklore book and would likely find something about unicorns, and certainly a world mythology book/encyclopedia (which, if you are looking for references or links to various different world mythologies, would probably be the way to go as they will cite which myths recognize unicorns as a symbol).