The unicorn story appears within the context of their first discussion of human existence as related to the nature of perception and the facts of their situation. Both men present different points about the ways in which humans can and cannot verify their knowledge of the material and spiritual worlds. Some of this dialogue, as Tom Stoppard imagines it, predates the scene in which they first appear in Hamlet. Rosencrantz says, “We were sent for,” echoing Hamlet’s line, “You were sent for.” That they have been summoned is a large part of their knowledge of their mission, which has become the most crucial fact in their lives. Guildenstern says, “Then what are we doing here, I ask myself.”

When they think they hear music, Rosencrantz says, “It couldn't have been real.” They then discuss what is real, with Guildenstern comparing colors and mystical experience. He then offers the story of a man who saw a unicorn but does not believe his eyes, instead thinking that he was dreaming. If he cannot accept the veracity of what he witnessed, is the thing that he saw real, or is his perception flawed? As the story develops, Guildenstern emphasizes the latter. No matter how many people claim to see something, if they do not trust their perception, we cannot know if it occurred. Rather, the dimension of the experience is spread thinner. In this case, the revised image is something more likely, a horse with an arrow in its head, resembling a deer. When the musicians enter, the men concur that the music was real and that the people are a band.

The unicorn analogy is used to discuss what makes something a reality.  If one person sees something and no one else witnesses the same thing, then the person may question the reality of what he saw.  If two people see the same thing and agree on what they saw, the reality is more firm.  If five people all see the same thing it is even more real.  Things aren't real until the majority of people agree on the essence of a thing.  As Rosencrantz says, "the more witnesses there are the thinner it gets and the more reasonable it becomes until it is as thin as reality, the name we give to the common experience."

Think about it from your personal experience.  When you see something unusual you immediately ask everyone around you, "Did you see that?"  You are looking for the confirmation of reality.  You do not go around questioning every THING for its reality.  We all understand a desk is a desk, a pencil is a pencil etc.  That is the collective creation of reality.