I was just wandering the Skyrim wilderness and just saw the Headless Horseman just gallop passed me and disappeared into the distance. I couldn't keep up with him so I couldn't talk to him is there a quest or something with him that I need to do?
There's no quest. If you do manage to follow him he takes you to Hamvir's Rest. You'll meet some undead there and there may be a chest. My guess is that they meant to tie a quest to him, but, it got cut out, and they just left him in as a little easter