Few of the folk of the Western Lands will venture far beyond their doors at night. For it is at night that the world of the living lies closest to that of the dead. It is at night that the Gods of law are at their weakest, and that the power of Chaos waxes in might. Strange sounds are carried on the wind, and weird things travel the roads in the darkness.
The lore of the people of the Western Kingdoms is alive with tales of Devils who haunt forest path and King's Road alike, seeking to snare the unwary. Of great interest to some loremasters are the tales of spectral hounds and horses, the most dread of which are known simply as the Nightmares, for they are of another world, entirely, and can pass easily between the waking world and that of dreams, appearing to men and slaying them on the roads or in their beds.
Often it is, on chill Autumn evenings, that families will hear the hammering of unseen hooves on the stones outside their lonely houses, and the unearthly scream of the Nightmare as it passes on some dread errand. Then deep in their beds, behind doors well barred will they huddle, and pray for dawn. When at last the day returns they'll emerge into bright sunlight to view the earth branded with the marks of burning hooves, and wonder who it was who died in his sleep, slain by a horror that stalked within the corridors of his unwaking brain.
It is said by many learned men that the Crypt Thing which dwells in the Caverns of Chaos has a pact with a Nightmare-horse, and sometimes rides this Devil Steed across the land on errands of evil. Others say this Demon in horse's shape is not a steed, but a servant and a messenger, for the Crypt Thing rarely, if ever, leaves the the deep and breathless warrens of the caves...
As a very young kid in The States, I fell in love with British folklore. I don't know why our little school library had so many books on the subject of English and Celtic lake monsters, ghosts, cannibals, haunted castles, stone circles, Lambton Wyrms, phantom dogs, spectral horses, and little talking furry creatures on the Isle of Man named Gef, but I'm glad that they did. I've lost not one squib of my love for this folk literature as I've advanced toward decrepitude, so I've been sort of playing with the idea of incorporating some of the spirit of it into my campaign world.
The idea of a spectral demon horsie with flaming mane and hooves thundering about the countryside by night conjures up a lot of that old folkloric flavor for me. Mr. Nightmare, in this case a lovely old 1980s Citadel Sculpt, will make a powerful and characterful ally for my Super Arch Agent of evil, the Crypt Thing....