Edward Payson Evans:
The unicorn is another favourite type, and is thus described by the Physiologus:
It is a small animal, but exceeding strong and fleet, with a single horn in the centre of its forehead. The only means of capturing it is by stratagem, namely, by decking a chaste virgin with beautiful ornaments and seating her in a solitary place in the forest frequented by the unicorn, which no sooner perceives her than it runs to her and, laying its head gently in her lap, falls asleep. Then the hunters come and take it captive to the king's palace and receive for it much treasure.
Herein the unicorn resembles our Saviour, who hath raised up a horn of salvation for us in the house of His servant David; and the work of redemption, which neither thrones, nor dominations, nor heavenly powers could accomplish, He brought to pass. The mighty ones of this world were unable to approach Him or to lay hold of Him, until He abode in the womb of the Virgin Mary. As it is written: And the Word was made flesh, and dwelt among us, and we beheld His glory, the glory of the only-begotten of the Father, full of grace and truth; or as this passage is paraphrased in le Bestiaire Divin:
Sul por la volontéde Dieu,
Passa Deu por la Virgne mère;
Et la Parole fut char faite,
Que virginetén’i of fraite.
In the border of the central lancet window in the apsis of the cathedral at Lyons is a representation of this fable of the unicorn and the Virgin as a symbol of Christ’s incarnation. It is rather awkwardly drawn, and the Virgin seems to sit astride of the unicorn’s neck, but it was evidently the intention of the artist to have the animal’s head lying in her lap. There is a carving of the same kind in St. Botolph’s Church at Boston, Lincolnshire, and a series of reliefs of a similar character may be seen in the cathedral at Toledo, in Spain.
A curious German engraving of the fifteenth century, entitled Von der menschwerdong gottes nach geistlicher auszlegong der hystori von dem einhoren, pictures the Annunciation and Incarnation as the chase of the unicorn. The archangel Gabriel, the leader of the hunt, winds his horn, from which is supposed to proceed the melodious greeting: Hail, highly-favoured one, the Lord is with thee, thou blessed among women! The unicorn, pursued by hounds, is running rapidly towards the Virgin, who sits with upturned eyes and hands folded across her breast in a state of ecstasy, while the horn of the animal is in perilous proximity to her lap. On her right are an altar with burning candles and a flowing fountain, a symbol of the waters of eternal life. In the background God the Father holds a globe surmounted with a cross in one hand, and gives His benediction with the other. The three dogs are Mercy, Truth, and Justice, and denote the attributes of the Saviour and the feelings which impelled Him to become incarnate, and to redeem the world from the dominion of Satan.
This symbolism is more fully and clearly expressed in a German painting of the fifteenth or perhaps the beginning of the sixteenth century, now belonging to the Grand Ducal Library of Weimar. In this extremely elaborate and highly-finished work of art there are four dogs held in leash and barking at the unicorn, which is already in the lap of the Virgin; their collars are labelled respectively Veritas, Justitia, Misericordia, and Pax; the first two are dark-brown, the third light-brown, and the fourth white. The Virgin wears a greenish-brown dress studded with golden flowers, and a green mantle. Gabriel is arrayed in scarlet, and has wings of many brilliant hues. Gideon kneels behind her on his fleece of wool (Judges, vi 36-40). In the background is a city representing Zion. To the right of the Virgin in the sky appears God the Father, with a large wreath of oak-leaves encircling His neck and resting on His shoulders, His hands upraised in the act of blessing, and the Christ-child descending on a beam of light and bearing a cross. At the lower end of the beam of light is a dove hovering over the Virgin’s head and its beak directed towards her ear.
This attitude of the dove, which is quite common, and indeed almost universal, in medi¿val and early modern pictures of the Annunciation, is intended to indicate the naïve notion entertained by patristic writers and later theologians, that the conception of Christ was effected supernaturally through the Virgin’s ear, so that she remained perfectly pure and immaculate, and her maidenhood intact... As God spoke the world into existence, so the voice of the Most High uttering salutation through the mouth of the angel caused the Virgin to conceive, and the Word was made flesh. But as spoken words are addressed to the ear, and through this organ find lodgment in the mind and thus bear fruit, it was assumed that the incarnation of the Logos was accomplished in the same manner. Deus per angelum loquebatur et Virgo per aurem impregnabatur, says St. Augustine (Sermo de Tempore, xxii); and this view, which was generally accepted by the Apostolic Fathers, is expressed eight centuries later in a verse attributed to Thomas à Becket:
Gaude Virgo, mater Christi,
Quæ per aurem concepisti.
The same description of the miraculous event is given by the German mediæval poet, Walther von der Vogelweide: Dur ir ore enphinc si den vil suezen. In the parish church (formerly belonging to the abbey) of Eltenberg on the Rhine, is an Annunciation moulded in clay, baked and painted, in which the infant Jesus, attended by the Holy Spirit, descends from heaven on the breath of God the Father, and enters the ear of the Virgin. Similar representations are to be seen (so far as they have not been destroyed) at Oppenheim, on the portal of the cathedral at Würzburg, and elsewhere.
The blast of Gabriel’s bugle in the Weimar painting is no uncertain sound, but becomes articulate as Ave gratia plena, Dominus tecum, to which the Virgin responds: Ecce ancilla Domini, fiat mihi secundum Verbum tuum. Indeed the air is full of floating legends taken chiefly from the Song of Solomon, such as Sicut lilium inter spinas, sic amica mea inter filias (As the lily among thorns, so my love among the daughters); Fons hortorum, puteus aquarum viventium quae fluunt impetu de Libano (A fountain of gardens, a well of living waters, and streams from Lebanon);Veni Auster, perfla hortum et fluant aromata (Come, thou south, blow upon my garden that the spices may flow out); Turris eburnea (Tower of ivory), &c. The Virgin sits behind a wicker fence or palisade in illustration of the passage: A garden enclosed is my sister.
Engravings of this painting have been frequently published... There is another picture of a similar character at Weimar; a third was formerly in the Hospital Church at Grimmenthal on the Werra; and a fourth is in the cathedral at Brunswick, painted on one of the folding compartments of a triptych or altar-piece.
The Virgin with the unicorn in her lap is on the outside, and the angel as huntsman with horn, spear, and dogs on the inside. Out of the mouth of the animal proceed the words : Quia quem Cœli capere non possunt, in tuo gremio contulisti, a punning form of expression, which may refer either to the incarnation of Christ, or to the hunting of the unicorn: Whom the heavens (highest powers) could not contain (capture), thou didst hold (take) in thy womb (lap). The Virgin has a blue robe, the lower part of which is reddish; a basket of manna is at her feet, and near her the legend: fons signatus (a fountain sealed). The angel is dressed in white with a red mantle floating in the wind, and has four dogs in the leash. In the Grimmenthal picture the symbolism is still more striking. On the left of the tall and majestic angel is a lion howling over two motionless whelps, with the legend Maria leo, and just before him the eternal city or perennity of God (perennitas Dei); above the gate of heaven (porta cœli) God the Father appears in the clouds between the sun and the moon; across the disc of the former are the words clara ut sol (clear as the sun), and issuing from the mouth of the human face defined in the crescent of the latter the words, pulchra ut luna (fair as the moon). On the left of the painting is a star (stella maris), and on the right a pelican feeding its young with its blood, and Moses talking with Jehovah in the burning bush. In the centre is Gideon kneeling on his fleece; behind him is the flowing fountain of the waters of eternal life; above it a mirror with the inscription, speculum sine macula (a mirror without spot).
[Animal Symbolism in Ecclesiastical Architecture by E.P. Evans. 1896]
This iconographic type of the Capture of the Unicorn as an allegory of the Incarnation, although reviled by the pusillanimous post-Tridentine art censors, retains both its charm and its profundity today. The finest example I have seen (not in person) is on a woven altar frontal in the Swiss National Museum. Some others: 
In the Cathedral of Lübeck
In a 15th century Dutch Book of Hours 
In a late mediaeval painting at Maria Gail 
By the Spanish Forger, early 20th century 
My own interpretation