Near the end of the movie, when Johnny Depp passes the horseman's skull to the horseman (before he almost kills christina ricci), the headless horseman is holding his sword in his right hand. A second later, he catches the skull, but with Both hands. The sword is gone!
Actually he catches his skull wit ONE hand, then puts his sword away, and then he uses BOTH HANDS to put his skull back in. I know this because I just watched the scene 6 times to make sure.