Charlie the Unicorn isn't really the cute, comical series it appears to be. In reality, it is one of the saddest, scariest stories ever.
Charlie the unicorn was actually a little boy, obviously called Charlie. He always loved horses, and actually owned one, whom he named Unicorn.
Sadly, when Charlie was eight, a criminal broke out of prison, came across the horse's paddock, and poisoned Unicorn's water, killling him.
Devastated, Charlie went insane, and murdered his family, thinking it was their fault. One night, he completely lost it and ran into the road in front of a transporter, which crushed him to death.
In the afterlife, Charlie became reincarnated as a unicorn, being his pet horse. The other unicorns, as well as the other creatures he encounters, are actually demons, sent from Hell to torture his lost soul, which never made it to heaven.