A popular riddle about the headless horseman is:
   
Q: Why did the headless horseman go into business?
A: He wanted to get ahead (a head) in life.
   
The joke was posted to the newsgroup soc.culture.filipino along with other Halloween riddles on October 22, 1996.
 
Somewhat related sayings are “If you want to get ahead, get a hat” and “The only way to get ahead is to decapitate someone.”
   
     
Wikipedia: Headless Horseman
The Headless Horseman has been a motif of European folklore since at least the Middle Ages.
(...)
In American folklore
The Headless Horseman is a fictional character from the short story “The Legend of Sleepy Hollow” by American author Washington Irving. The story, from Irving’s collection of short stories entitled The Sketch Book of Geoffrey Crayon, Gent., has worked itself into known American folklore/legend through literature and film.
 
The legend of the Headless Horseman begins in Sleepy Hollow, New York, during the American Revolutionary War. Traditional folklore holds that the Horseman was a Hessian artilleryman who was killed during the Battle of White Plains in 1776. He was decapitated by an American cannonball, and the shattered remains of his head were left on the battlefield while his comrades hastily carried his body away. Eventually they buried him in the cemetery of the Old Dutch Church of Sleepy Hollow, from which each Halloween night he rises as a malevolent ghost, furiously seeking his lost head.
         
Google Groups: soc.culture.filipino
HAPPY HALLOWEEN
Gorgeous
10/22/96
(...)
Q. What can’t you give the headless horseman?
A. A headache.
 
Q. Why did the headless horseman go into business?
A. He wanted to get ahead in life.
 
16 February 2000, Los Angeles (CA) Times, “The Kids’ Reading Room; Reading by 9; Jokes & Riddles,” pg. 8:
Why did the Headless Horseman get a job? Because he wanted to get ahead. (Lena, 9, Twin Lakes Elementary, El Monte)
 
Google Groups: alt.humor.puns
Halloween Puns of the Weak 10/26/01
Stan Kegel
10/27/01
(...)
Why did the headless horseman go into business?
He wanted to get ahead in life.  (Trinitty)
 
Google Groups: alt.humor.puns
Puns of the Weak 10-17-03
Stan Kegel
10/18/03
(...)
Why did the headless horseman go into business?
He wanted to get ahead in life.  (Trinitty)
 
Google Books
Extreme Monsters Joke Book
By Nikki Bataille Lange
Illustrated by Tim Stuby
Columbus, OH: Brighter Minds Children’s Publishing
2005
Pg. 21:
Why did the Headless Horseman go into business?
He wanted to get ahead in life!
 
11 July 2007, The New Mexican (Santa Fe, NM), “Jokes for kids,” Eldorado ed., pg. 3, col. 1:
Why did the headless horseman win the race?
He got a head.
   
15 October 2009, Taos (NM) News, “Overheard and Unconfirmed” by Rick Romancito, pg. TE-41:
Q: Why did the headless horseman go into business?
A: He wanted to get ahead in life.
 
Twitter
Foot The Bear
‏@FootTheBear
Q. Why did the headless horseman go into business?
A. He wanted to get a head in life.
11:19 AM - 1 Sep 2010
 
Twitter
PREG
‏@PREGonline
Why did the headless horseman go into business?  He wanted to get a-head in life!
12:15 PM - 31 Oct 2011
 
Google Books
Funny Halloween Jokes For Kids
By Peter Crumpton
PeteyRF Creative
2014
Pg. ?:
Why did the headless horseman go into business?
He wanted to get ahead in life!
   
Twitter
Omar Morales Reyes
‏@Omar26m
The Headless Horseman decided to start his own business. He felt he wanted to get a head in life.  #classicjoketuesday
11:53 AM - 14 Oct 2014
 
Google Books
Scooby-Doo’s Laugh-Out-Loud Jokes!
By Michael Dahl
Illustrated by Scott Jeralds
North Mankato, MN: Capstone Young Readers
2015
Pg. 161:
hy did the headless horseman go to college?
He wanted to get a head in life!