Bat

 are a animal species found in Red Dead Redemption. Unlike any other species in the game, bats cannot be hunted or skinned. They also do not randomly spawn in the gameworld. Bats only spawn at 6:00 P.M. at Tumbleweed Manor. They swarm over the mansion every evening.

The Tumbleweed Bats were most likely put in by Rockstar to add to the 'hunted' myths/themes in the newspapers and the other strange occurrences of the ghost town, like the dark horse and ghost people.

Killing a bat is not required for the Unnatural Selection trophy/achievement.