You can use any Aran weight yarn. I have listed the brands I have used for guidance only.

For this pattern I have used;

Main colour – Wendy with Wool Aran - White
Hair and blanket edge – Caron Simply Soft (Aran) – Shade 9721 Victorian Rose
Horn – any grey aran weight yarn
Stuffing (Fiberfil)
Hook – 4mm for the unicorn, 5.5mm for the blanket
Needle
Scissors
Stitch Markers
Black embroidery thread