Stalking the Unicorn — Mike Resnick

JOHN JUSTIN MALLORY IS A MAN WITH PROBLEMS

Its New Year's Eve and the elf perched on Mallory's desk wants his missing unicorn back--and that's the easy part. Mallory's wife has run off with his partner, his detective business is in ruins, and the mob's out to get him. With so many wonderful things happening, Mallory decides that a case involving a trip from reality might not be so bad. After all, what more can he lose?

Mallory soon finds that he might lose it all as he enters a Manhattan that just couldn't be. Dodging nasty gnomes and mischievous felines (not to mention rampaging elephants charging down Fifth Avenue), he discovers that the malevolent demon Grundy also seeks the fabled beast...and will stop at nothing. Mallory is no Philip Marlowe and will have to do some pretty fancy footwork just to stay alive-- for if the Grundy wins, not only Mallory's life, but his world will be forfeit.