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Cop has a seriously fucked up case where it's implied, but not outright shown, that he kills a guy who beat his girlfriend/wife to death and microwaved his baby after numerous other domestic dispute calls to their house where the guy got off on all of the other incidents because of his connections. Cop goes off the deep end and ends up a divorced alcoholic/addict hitman working for the mafia. He's finishing up a hit job and has a heart attack.

Little girl is at a kid's tv show event thing where she was with her mom, but slips away and is kidnapped by a deranged Santa Clause. She has an imaginary friend that is a flying unicorn named Happy. The imaginary friend goes to get help for the little girl and finds her dad, the disgraced cop, in the back of an ambulance half-dead. The cop can see the unicorn and thinks it's just an "I'm dying and hallucinating" thing. Cop can still see magical unicorn after basic recovery from the heart attack and the unicorn tries to convince him the little girl is his daughter, but he doesn't believe it because when he and his wife split they didn't have any kids.

He ends up using the unicorn to beat a gun runner in poker he was forced to play in order to get money and guns to skip town because the mafia boss is after him due to a fuck up on the earlier hit he was working. Imaginary friends get tortured and killed. Children get tortured somewhat. (and I believe one gets blown up but that's never actually stated as definite...)