Every day around dusk, the PCs hear the sound of thundering hooves approaching from behind them. A DC 16 Survival or Perception check would reveal that the sound comes from a singular animal. When they begin looking for the source of the sound, it stops. No amount of investigation can find its source.
After a week or so of this, they come upon what appears to be a deserted farm. A horse can be heard whinnying from within a scorched barn as a man yells for help, claiming to be on fire. If the PCs go into the barn, they find the charred remains of horse and rider.