Another significant horned god was the Celtic Cernunnos (who actually had antlers rather than horns, but I'm not sure the ancient Celts had different terms for those two sorts of appendages). Not much actual information on Cernunnos has survived, but like Pan, he appears to have been associated primarily with nature and fertility, but he was also regarded as a ruler of death and the underworld. He appears in a lot of artwork, and the name comes from an inscription on a carving. The name simply means "Horned One," so it's certainly possible that this wasn't actually his name, but names are tricky things when it comes to gods. The Internet mentions Uindos, Finn, and Hu Gadarn as the names of horned deities from the area. The Britons also had an antlered god known as Herne the Hunter, a quite popular figure whose origins are lost to the mists of time.
This page mentions a few horned gods from places other than Europe. Pashupati was a Northern Indian lord of animals, evidence of whom was found at Mohenjo-daro. The ancient Peruvians had a horned deity called Pachacamac, regarded as the son of the sun god and patron of light, fire, and life and death.
Nowadays, the Horned God is an important figure in many neo-pagan religions, but even more prominent is the depiction of Satan as a horned figure, closest in appearance to Pan. I don't know that there's any established source for the origins of the goat-like Devil (who certainly didn't appear anywhere in the Bible), but popular belief has it that it was part of the general early Christian trend of re-branding pagan deities as demons. Since horned gods were not only popular but also often associated with sex and wild behavior, they were probably particularly tempting targets for a religion that wanted to paint such things as sinful. Besides, while I don't think Pan was ever associated with the world of the dead, other horned gods were, which quite possibly made the transition into the ruler of the Christian Hell run more smoothly. Besides, it's not like they could have used Zeus as the image of the Devil, since depictions of him weren't all that different from ones of Yahweh.