No you can't. But there is a shout that has the same effect, Become Ethereal.
No, the Headless Horseman is just a random encounter anywhere in the world, whereas the potion is useless, but fun to have.
You can use console to enchant an item with spectral effect, code: 103647
Looks "cool" but pretty much useless though.
i loved to use ghostveil enchantment, cuz it's the only one i know that can be safely removed, unlike the other ghost visual magiceffect...which makes you transparant when removed...
So there is no special dialogue between npcs? That sucks, what a missed opportunity to spook some guards or townspeople D: