I was going to recommend this book before I saw Cal’s post. It was written in 1930, but it’s still a great book on the development of the unicorn mythos from antiquity, including how a narwhal’s tusk got stuck on the poor beasty’s forehead.
The book is actually online in a couple of places:
Actually, any Biblical creature that has been translated as “unicorn” was probably really an aurochs or an oryx, with the translation being a mistake.
There’s a great chapter on the subject in Rabbi Nathan Slifkin’s book “Sacred Monsters” (in which he, like others in this thread, declares that the rhinoceros is the origin of the modern unicorn myth).
Willy Ley agrees that the biblical unicorn is likely an aurochs.
The aurochs, as he points out, is one of the creatures depicted on the Ishtar Gate of Babylon, and that, coincidentally, it is depicted in profile, so that only one horn is visible, making it essentially a unicorn (!)
The Natural History of the Unicorn by Chris Lavers is very interesting. It suggests that the unicorn legend is a mixture of descriptions of the oryx, the rhino, and IIRC, the onager (which doesn’t have a horn, but is very wild and fast.)