I had an Alicorn OC, with a personal headcanaon (that people claimed actually made sense!) but he disappeared around the time Twilight became an Alicorn and my headcanon fell to bits.
His name was Mortal Bonds, he was black (or dark grey? Not as dark as Nightmare Moon) with a white mane and a ghost Cutie Mark. His talent was helping lead lost souls (ghosts) to the afterlife.
...No, he wasn't the Grim Reaper, he didn't kill ponies. They died on their own, and he led their spirits to the afterlife.
Anyway my headcanon was that Alicorns were basically a race of physical Gods nearly as numerous as the other three races. But around the time Discord was turned to stone, a mysterious illness wiped them out. A few, such as Celestia, Luna, their mother Faust, and Mortal's parents survived.
A random villager found Mortal wandering around one day and word of it spread to Celestia. She took the young Alicorn in and found out that his mother and father were rather old when they had him, his father dying a year after he was born and his mother dying when he was around 7-8. He told her how one morning, his mother told him she had to go, though she didn't know where. So he led her to a strange light that was always at the edge of his vision. He never saw her again.
Through a few more conversations and questions, Celestia found that not only could the young colt see the dead, but lead them to the afterlife as well. After a few months teaching him manners and politics, she proclaimed him a Prince of Equestria. But his dark appearance, nocturnal schedule, and habit of talking to "himself" made him quite unpopular. Eventually he renounced his royal status and became a recluse, exploring the less populated areas of the castle and only going out in the dead of night.
Holy crap, sorry for dumping you guys with his whole story. I didn't mean to!