How Jockey's Ridge got it's name: The horses got here from shipwrecks off shore. Jockey's Ridge is where people wold sit to watch the horse races go by.
Nag's Head is a tad more eery: Pirates would tie lamps to the horse's heads - nags - and then walk them around. The ships out at sea would see the lights and think it was a harbor. They'd turn in, run aground and then be robbed by the pirates with the lights.
(As seen on plaques at Jockey's Ridge in Nag's Head, NC.)