Some speculation about the Headless Horseman's loot has arisen on the official World of Warcraft forums. Forum member Virjil raised the question of whether or not the epics gathered from the Headless Horseman would, for example, "turn into greys after the holiday thing is over".

Blizzard poster Drysc, however, made it clear that the loot will be permanent. Said Drysc:

The event designers wanted to incorporate some item rewards, some decent epic items for completing the end-quest for a holiday event. Something that is likely to continue into other events.

It's certainly easy, puggable, and it gives some decent items. It's a fun event, and the fight to the portal in/around SM is a hoot. Enjoy!