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There are three good reasons to track down the Four Horses of the Apocalypse, the first being that they are just as menacing to the undead as they appear. Each horse has a unique attribute that can prove quite useful in the decimation of zombies, such as Death's ability to destroy everything it touches.
Second, there is an in-game challenge called "Four Horses of the Apocalypse" that has five ranks; the first four involve locating and securing the apocalyptic horses. Completing this challenge is a requirement of the Mad Marston: The Trail Warrior achievement/trophy.
Third, there is a fifth mythical mount obtainable in Undead Nightmare, that being the unicorn. The unicorn will only appear once all Four Horses of the Apocalypse have been captured.
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Undead Nightmare Four Horses of the Apocalypse Guide - Pestilence
Pestilence is a pale white horse covered in wounds and shrouded in a green disease cloud. A real charmer with the lady horses, I'm sure. He has infinite stamina and the ability to withstand far more damage than regular steeds before dying. He is most commonly found between Manzanita Post and Aurora Basin in Tall Trees. He has also been spotted south of Broken Tree in the Great Plains region, and west of Thieves' Landing in Hennigan's Stead. When he or any other of the Four Horses of the Apocalypse are nearby, they will appear as blue markers on your map and you'll receive a message stating a mythical creature is approaching.
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Undead Nightmare Four Horses of the Apocalypse Guide - War
War is a fiery red horse whose hooves are perpetually engulfed in flame. He has infinite stamina and the ability to scorch any zombie that is unfortunate enough to cross its path. He is most often located in the area between three points: Tumbleweed, Benedict Point, and Gaptooth Ridge in New Austin. He has also been found east and west of Armadillo in Cholla Springs, north of the MacFarlane's Ranch in Cholla Springs, and around Fort Mercer in Rio Bravo.
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Undead Nightmare Four Horses of the Apocalypse Guide - Famine
Famine is a jet black horse that is covered in a swarm of locusts. He is definitely the least interesting of the Four Horses, as his only noteworthy ability is infinite stamina. He is primarily found in the stretch of land between Chuparosa in Perdido and Tesoro Azul in Punta Orgullo. Famine can also be seen near Las Hermanas in Perdido, and outside Torquemada in Diez Coronas.
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Undead Nightmare Four Horses of the Apocalypse Guide - Death
Death is a dark brown horse that leaves wispy entrails of ghostly fog in its wake. This elusive mount is the most difficult to track down in the wild; it only appears once Pestilence, War and Famine have been tamed. He is awarded to you upon the completion of the Undead Nightmare campaign, but if you don't want to wait that long there are alternatives. There isn't a particularly frequent location he spawns at; it is pretty random, but searching the areas the other three Horses of the Apocalypse were found in is your best bet.
Death has infinite stamina like his three brothers, and also the ability to instantly kill any zombie he comes into contact with. Rank 5 of the Four Horses of the Apocalypse challenge requires you to kill one of each type of zombie using Death's special skill. Just hop on Death and ride into the undead, as the slightest touch will cause their heads to instantly explode.