Four Horsemen is a shot containing equal parts Tequila (Traditionally Cuervo Gold), Bacardi 151, Rumple Minze, and Jaegermeister. It is so named because it will bring the apocalypse upon you, and it contains four alcohols. Drinking a lot of these is an advanced technique; If you are not used to getting seriously smashed, be gentle. There's something about this combination that is unusually explosive.
Some claim that a Four Horsemen contains Jack Daniels, Jose Cuervo, Ron Bacardi and Johnnie Walker. Some of those people believe that it should be layered, as well. However, that is an obvious hack of the Three Wise Men.
References:
Website: Untitled (http://www.student.virginia.edu/~pepband/CSRU/atthebar.html)
Website: Webtender (http://www.webtender.com/db/drink/1705)
Maxim magazine, September 1998