I should probably clarify, that diamond horse I've been telling you about? It's not a sculpture or anything! It's a living horse that actually happens to be made of — actually, I'll just go get her. Butt Stallion! Come here girl! Say hello, Butt Stallion!
Raoh in Fist of the North Star has a massive black stallion named Kokuoh ("Black King"). Its presence in a nuclear wasteland pushes the Fridge Logic even further, but seeing a giant man ride up on a giant horse is just too awesome to not let slide. This horse is so strong that it doesn't die when Kenshiro hits it.
One of many shout outs from Cromartie High School to Fist of the North Star is the fact that Freddie rides an exact copy of Raoh's horse to, in and around school.
In the beginning of Hana No Keiji, the hero, who is reminiscent of Kenshiro, hears of a powerful, giant horse much similar to Raoh's Kokuoh and spends 10 days befriending the horse so he could help him in a war.
The Five-Tails from Naruto has characteristics of a horse.
Reign The Conqueror was a cyberpunk version of the Alexander story, so naturally Bucephalus is present, as an almost demonic creature.
The non-mechanical horses in Sengoku Basara: For example Takeda Shingen's horses (which he dual rides, standing with one leg in each saddle) defy gravity by climbing castle walls. And then there's Masamune's horse, which has Harley Davidson exhaust pipes and bike handles. in 16th century Japan.
Entei from InuYasha, a flying demon horse with a mane and tail of actual fire.
Aki's borrowed horse in Silver Spoon is "only" a mortal horse, but wow, can it make a cool entrance. The hero initially mistakes it for a bear. And it comes with a reference to the aforementioned Cool Horse in Fist of the North Star.
The protagonist is entering Equestrian Club, so of course it features varied horse, most of them qualify for this trope, from large and super-strong Ban'ei horse to agile Hokkaido's small horse to an ugly, temperamental and snarky horse who actually very good in hands of competent rider.
The Bounty Hunter's horse in the manwha "Yongbi" is like if Maximus was born in historical Korea. He constantly speaks his mind and has many arguments with his rider. He's also able to determine the worth of a sacred gold medallion just by licking it, forced the staff and other horses to serve him hand and hoof in the palace horse stable, immediately sensed his master was in danger when the the evil emperor sends assassins to kill him in his sleep (it doesn't work), and destroyed part of the palace while holding the sacred medallion before swallowing it to keep it out of the Emperor's hands.
In Shaman King, Tao Ren sometimes rides a gigantic black horse possessed by the spirit of the warhorse named Black Peach who was ridden by his spirit partner, Bason during his living days as a Chinese warlord.
In Osamu Tezuka's Dororo, one of the demons Hyakkimaru faces was a possessed female warhorse named Midoro who was forcibly separated from her foal by her cruel master to fight in one of his latest battles. When she was near death, she made a bargain with an equine demon to use her body in exchange to never lose against any human. The ghostly horse was easily able to go hoof-to-toe with the demon slaying protagonist. The horse then comes under the possession of Hyakkimaru's power hungry rival, Saburoto, who falls under the demon's spell. He then uses it to raze nearby villages, and even hammers in spike-studded horseshoes so it could kill more people.
The Survey Corps from Attack on Titan make use of specially-bred horses in their operations. Bonus Material gives more detail on these unique horses, each of which is worth more than the average citizen makes in a lifetime. Their top speed is 75 - 80 km/h (47 - 50 mph), and they are the only means to escape Titans when outside the Walls and in open areas. They are specifically bred to have exceptional stamina and strength, as well as Nerves of Steel so that they do not spook when encountering Titans or when riders activate their gear while in the saddle.
In the Rurouni Kenshin anime, one of the filler episodes features a horse who jumps between several stationary boats without pausing in between, and then follows this up by leaping on top of a train.
In the Silver Age, Supergirl had Comet the Super-Horse, who had the powers of unaided flight, super-strength, super-speed, telepathy, and the ability to turn into a human named Bronco Bill. They were dating. Okay, okay, he was actually a centaur who got turned into a horse by a witch, but it's still creepy.
Don Rosa's The Life and Times of Scrooge McDuck has Hortense, Scrooge's mare named after his hot-tempered sister. Smart, fearless, and capable of things extraordinary for regular horse, including mast climbing.
Dynamite, the first and most famous steed of Tex Willer.
Bamse's horse Billy Boy is a more realistic version of the trope; he's a fairly normal horse with a normal horse's intelligence and behavior — but no less cool for that, as he's exceptionally strong and fast, and can beat just about any other horse in a race.
In "The Princess on the Glass Hill", three magnificient horses are eating all the grass in the field; once he catches them, the hero can climb the glass hill on their backs.
Hungarian fairy tales often have a talking horse that eats ember, drinks wine, could fly, instantly go from one place to another in a blink of an eye, and provide exposition. They are often referred to as "Táltos" (Shaman), and like many shamans, may posess physical deformities - usually an odd number of legs. The hero usually finds them neglected (or purposely starved) and half dead, and has to nurse them back to health to earn their help.
The Cool Horse was de rigueur for the B Western hero. Silver is the most famous, but equally famous in their day were Gene Autry's steed Champion, Tom Mix's Tony "the Wonder Horse" and, of course, Roy Rogers' companion Trigger. To give an idea of how important these noble equines were, posters for several of Rogers' movies gave Trigger more prominent billing than Dale Evans, even after she and Rogers were married.That Other Wiki has a full article here.
Artax from The Neverending Story. Although his death traumatized many a wee kidlet, he remains a beloved equine, especially his resurrection/reappearance at the end of the film racing across the plains with Atreyu on his back.
Cactus Jack Slade, the protagonist of the western comedy film The Villain, has a horse named Whiskey who is at least five times smarter and more capable than he is. Fun Fact Whiskey is really 8 different real horses, since there were so many things he had to do, and no single horse could do all of them.
The western parody Rustlers Rhapsody features Rex O'Herlihan the Singing Cowboy and his ultra-smart wonder-horse Wildfire.
In the Disney animated version of The Hunchback of Notre Dame, Phoebus had a horse called Achilles, who would actually sit down on command - usually on top of someone bothering his master.
Frollo has a Cool Horse too. Although the animators named it Snowball for a joke. He knows it, too; when Phoebus steals his horse and escapes, Frollo tells the archers to shoot, but warns them not to hit his horse.
The Fire Mares of Krull, which can travel really fast, and can fly over cliffs.
Note that the reason they're called "Fire Mares" is because they run so fast it causes the ground to catch fire where their hooves hit it.
Khartoum, Jack Woltz's magnificent stallion from The Godfather, who was infamously killed because Woltz wouldn't give Johnny Fontane, the godson of mob boss Don Vito Corleone, the starring role in a new movie.
Maximus, the horse of the Captain of the Guard in Tangled. Determinator, master tracker, easily the biggest Badass on this whole list. Not to mention the posters put him with a sword in his mouth. And the know how to use it in the movie.
The plot of The Electric Horseman involves the title character's journey to set a champion racehorse free. At one point he rides the horse and outruns police vehicles.
As mentioned in the comic section, Odin's eight-legged horse is briefly shown in Thor. This version is black, however.
The special relationship between The Lone Ranger and Silver was one of the things the latest incarnation got basically right, if exaggerated.
In Jean Cocteau's Beauty and the Beast, the Beast sends Belle's father home and has her come to the castle in his place by means of a magical white horse, Le Magnifique, which can take its rider anywhere they wish to go.
There's a number of Cool Horses in Romance of the Three Kingdoms the most well known being Red Hare who was capable of running a thousand leagues in a day and wouldn't let anyone ride him until Lu Bu and then Guan Yu proved themselves worthy.
He and others also appear in the Dynasty Warriors series and is the fastest of them all and once unlocked anyone can ride him. Even Xiao Qiao
Orlando Innamorato and Orlando Furioso feature Bayard, a Sapient Steed who can stretch to fit four riders, Rabican, a flying horse born of wind and fire, and the original hippogriff.
Black Beauty. This horse is not only the main character of one of the best-selling books of all time, but is the protagonist of the first story that was ever told in first person narrative from the point of view from an animal, kick-starting an entire sub-genre of animal stories. His story led to more responsible use of the bearing rein (which was then often used to hold a horse's head in an unnaturally high and uncomfortable position) and is also believed to have made a difference in reducing the taxicab license fee of the time, something that was often exploited by those that hired out cabbies to drivers. He also had an in-book Crowning Moment Of Awesome when he refuses to cross a bridge that he instinctively knows is dangerous, saving himself and his two passengers by doing so.
Max Brand westerns feature a number of these. The most "superequine" is probably Dan Barry's horse Satan (from The Untamed and Dan Barry's Daughter), whose ability to perform an athletic leap while exhausted after days of hard riding is so impressive that a poor farmer, a dead shot, who's hoping to collect a massive reward on him, instead leaps to his feet, waves his hat, and yells "Gawd bless ye!". His loyalty is doglike and his intelligence and thought processes are almost human (Brand, whatever his gifts as a storyteller, does not show much understanding of animal psychology). Diablo from Bull Hunter and Sky Blue from Lucky Larribee are others.
J. R. R. Tolkien's Middle-Earth (The Silmarillion, The Lord of the Rings, etc) has a LOT of the beasts, both of the slightly super-horsian as well as the Badass Normal variety: First, there is Nahar, ridden by the Vala Oromë, the first and coolest of cool horses. The Mearas, a rare breed of super-horses, kept by the Rohirrim (whose culture revolves around horses) besides their regular horses; the most famous individuals are Felaróf, the steed of Eorl, and Shadowfax, the steed of Gandalf. And there are lots of regularly Badass Normal horses. ...and so on.
Death's other horses are perhaps cooler (one is a skeletal steel, the other is made of fire) but were somewhat impractical due to their tendency to fall apart and ignite their bedding respectively.
In Going Postal, we also see Boris — a Hellish Horse without the look but with enough personality to make up for it; Boris is, literally, aimed at the destination where, upon arrival, Moist von Lipwig has to look for somewhere soft to land. Boris won't stop... Also, the Golem Horses.
For a Heralds of Valdemar example of a Cool Horse that's really a horse, try the Shin'a'in battlesteeds: as smart as a smart dog, incredibly loyal, able to survive on even the worst feed, and faster than anything on four legs — except a Companion.
They're also incredibly ugly. Even the Shin'a'in freely admit they were bred for function over form to the point that looks were not even a consideration.
The Belgariad also features a species of insane carnivorous horses with claws instead of hooves. One of the characters is disappointed at being unable to ride one, until it's pointed out that carnivorous horses might not be a great idea for a culture built entirely around herding cows.
Faran, from The Elenium and The Tamuli also by David Eddings, is the incredibly intelligent and capable companion of Sparhawk the Knight. Their relationship is less than one of perfect compliance and involves the kind of trickery and coercion one might actually see in a strong-willed horse. Faran acts like he has a bad temper exclusively because Sparhawk actually likes him to act that way.
Melynlas, Taran's horse in Lloyd Alexander's Chronicles of Prydain, was not excessively badass but was extremely loyal — so much so that when he was stolen, Taran was able to prove his ownership by being the only person the horse would allow to mount him.
His mother, Melyngar, was the prized mount of Taran's friend Prince Gwydion, and she was quite the quadroped badass.
In Journey to the West, the dragon prince Yulong Santaizi transforms into a white horse for Xuanzang to ride. He stays a horse most of the time and doesn't have a huge role otherwise, but transforms back a couple times in dire situations.
Zorro's horse, Tornado (or Toronado in some versions).
While she doesn't actually have magical powers, Bela in The Wheel of Time, an old cart horse, is notable as the only character aside from Rand al'Thor to appear in all eleven books so far. Popular fan theories posit that she is actually the Creator in disguise, or maybe the Dark One.
Fan theories about Bela ran so rampant that the collector of Loony Pet Theories refused to include any theory which included Bela. Including the one that Bela is a perfectly normal horse.
Bela also didn't appear but as a dream-Bela in Egwene's dreams in Lord of Chaos. The Jordan Internet fandom promptly organized a writing contest on what she had been up to during the book.
Dragon Bones and its sequel feature a few cool horses, the coolest being Stygian, a battle steed ridden by the main character who is vicious, bad tempered and killed the main character's Father. The most awesome part is that the main character immediately renames his badass, evil, ugly horse that everyone wants to put down as Pansy. Other characters are not amused.
From Chivalric Romance, Beves of Hampton has a horse not only rather fast but capable of recognizing him.
Jack Aubrey's fine Arabian mare, Lalla, from the Aubrey-Maturin novels.
All the post-Immortals horses in Tamora Pierce's Tortall Universe books. Since they have heightened intelligence thanks to Daine, it makes them all the more Badass. Peachblossom, Kel's battered warhorse in the Protector of the Small quartet, practically defines this trope. If you try to pet and/or mount him and your name isn't Kel, Tobe, Stefan, or Daine, he will either bite your arm off or try really hard to.
Two centuries earlier, in the Provost's Dog books, Lady Sabine's warhorses Drummer and Steady. Try to hurt their lady, get kicked in the head repeatedly. Try to stop them from getting to their lady when they've figured out that she's in danger, watch the whole stable staff get killed. They're also trained to detect common poisons by smell and will refuse any meal that's suspect. So it's not that surprising when Pounce confirms Lady Sabine's family has magic similar to Daine's that specifically works with horses.
The Hunnuli, in Mary Herbert's Dark Horse series: Big, powerful, distinctive in appearance unless magically disguised, fast as hell, resistant to magic, and telepathic.
Blackjack from Percy Jackson and the Olympians. Also Rainbow the Hippocamp (ie: literal sea horse). Mrs O'Leary is a giant hell-hound but she can be ridden through shadows (don't try it if you're afraid of the dark). From The Heroes of Olympus, we have Arion and Tempest (a storm spirit who happens to look and act like a horse).
The coolest horse in A Song of Ice and Fire would have to be Stranger, Sandor Clegane's beloved warhorse. Huge, black, powerful, and viciously savage, he's gentle as a lamb with Sandor but will maul anyone else who gets near him. Notable victims include two hapless priests, one lately left with a broken leg and the other short an ear. And while Stranger is a cool enough name on its own, it becomes instantly more badass when you take into account that in Westeros, "the Stranger" is the much-feared god of death.
Dany's silver also deserves mention and is indicated to be a mount of quite exceptional quality.
Dilvish the Damned's Black was a demon in horse form.
Mad Amos's horse was a bad tempered unicorn with the horn filed down.
In Robert E. Howard's Conan the Barbarian novel The Hours of the Dragon, Xaltotun's chariot is drawn by "weird horses." When he dies, they bring the chariot and, when someone puts the body on board, carry it off.
Ryshadium from The Stormlight Archive, are bigger, stronger, faster, and smarter then normal horses, and they are also pseudo-Bond Creatures, they chose their own riders and are apparently picky about it, there are only a dozen men in all the Alethi warcamps that have one.
Ryshadium are so grand that many characters compare upgrading to one of these horses as being similar to a knight going from plate to magical Powered Armor.
Hob and Pearl, from Douglas Hill's Blade of the Poisoner and Master of Fiends. Sure, they're just ordinary horses—and Hob looks more like The Alleged Steed—but they're both written as being rather smart and tough.
Athansor, from Mark Helprin's Winter's Tale. (an angel in horse form trying to leave Earth).
The unicorns from The Firebringer Trilogy are a race of Bad Ass warriors who regularly take on (and defeat) large predators such as gryphons and wyverns. Notably, their initiation ritual involves making a journey to the very heart of their worst enemies' homeland to drink from a magical pond.
Epona in the Novels Of The Change. A toned-down example, but she's a top-notch destrier, she ages much more slowly than a normal horse, and only the character mantled in Prophetic Significance can ride her without getting horribly maimed.
Being stories about adventures in Wild West era, Karl May's stories featured quite a lot of Cool Horses, including in them Hatatitla, Ilstchii, and purebreed Arabian horse, who Winnetou claimed "Even Manitou couldn't ride a better horse than this". Hatatitla and Ilstchii are black stallions of Apache breed that are all of extraordinary quality, and they have the finest specimen. The antagonists in the movie adaptations tend to covet them and try to steal them from our noble heroes.
Mystic Force has the most badass. An untameable horse that had a habit of running rampant through town breaking stuff was snatched to the Underworld to serve Koragg, and now turns into a zord that he can summon and combine with when he goes giant.
Morvarc'h, the coal-black steed of the legendary Breton king Gradlon. Morvarc'h could swiftly gallop across the tops of ocean waves as if he was running on dry land.
Grey of Macha and Black of Saingliu, twin steeds of Cuchulainn. Born at exactly the same time as their master.
Enbarr of the Flowing Mane was another water-walking horse, owned by (fittingly) the ocean god Manannan Mac Lir.
In King Arthur legends, Sir Gawain had a part-supernatural-being horse, Gringolet. (Also called Kincaled depending on who you ask.)
The four horses of the Apocalypse. After all, you've gotta be a pretty damn cool horse to put up with riders like War, Pestilence, Famine and Death.
The The Shahnameh has Rakhsh, tamed by the Persian hero Rostam because he's the only horse in the world strong enough to bear his weight.
Burāq, the steed of the prophets according to Arabic(not Qur'an) tradition which is able to travel through the seven heavens and back to Earth in two days. Normally just getting to the first heaven takes seventy three years.
Middle Eastern mythology is full of legends about the prized Arabian horses. Many involve races across great distance in the desert where the horse turns up to a destination, right as rain... with a rider dead from exhaustion/starvation/thirst.
Stranger still, some of these stories may be true. There's a reason Arabians dominate endurance races and that riders fail health checkpoints as often if not more often than their horses do.
The Al Khamsa, the five mothers of the Arabian breed, the story goes Muhammad took 500 mares out into the desert after about a day he allowed them to drink for an oasis but wend they were half way their he recalled them all, only five went to him.
The Lone Ranger's horse, Silver, who appears in every adaptation of the story (television, film, comic books, etc.) He even had his own comic book at one stage.
To a less extent, Tonto's own horse, Scout, qualifies too.
In the animated version that ran in the '60s, Silver once pulled the Lone Ranger out of quicksand — reaching his head back to grasp in his teeth the coiled lasso hanging from the saddle (is that even anatomically possible?), he flung the loop end into the Ranger's hands (the other end was already tied to the saddle). It'd take Lassie or Rin-Tin-Tin to top that!
Paladins have a special ability to summon a "special mount." This grew until they can get an epic mount from outer planes that is attuned only to them. It doesn't have to be a horse per se, but it usually is. And until Third Edition, a Paladin could only summon the thing once every ten years.
Considering Paladins need every stat but Intelligence, there is a very good chance that the paladin's mount is smarter than they are.
Of course, with Paladins often being cast as Lawful Stupid, that shouldn't come as too much of a surprise.
Nightmares in Dungeons and Dragons are a fiery option for the Evil Counterpart of paladins, the Blackguard.
Unicorns and Celestial Chargers (Half-Celestial Unicorns) are also out there.
There's also the pegasi, the hippocampus, griffons, hippogriffs, riding dogs, dinosaurs, worgs, dragons... Asperi and comet steed. There's no shortage of creatures to ride around on.
Archaon the Evechosen from Warhammer had Dorghar, Steed of the Apocalypse.
Prince Tyrion rides Malhandir, the Father of Horses. It has a move of 12 which means it can charge 24... The same range as an arrow from a longbow.
Imperial Guard roughriders in Warhammer 40,000 ride into battle with lances tipped with high explosives, against all kinds of aliens, demons, giant robots, and so on. While the horses themselves don't get much love, they must be pretty cool to deal with that.
Game Freak and Nintendo also give us the Pokémon Ponyta and Rapidash, which are horses with flaming manes and tails. Blitzle and Zebstrika are native to Pokémon Black and White's Unova region; as the name indicates, they're electric zebras. Keldeo is a water-type unicorn Pokémon.
Given the sheer size of that thing, it may be true. Agro is larger than some draft horses.
Toward the end of the game, Agro falls into a huge crevasse, a fall that would most definitely kill the player. After the final battle, it is revealed that she is still alive, and she has managed to limp her way over a mile back to the temple.
Boko from Final Fantasy V who carries three people at once while jumping over pits during an earthquake.
In Prince of Persia 2: The Shadow and the Flame, a horse statue comes to life, and it lets the Prince ride through the air in a couple of cutscenes.
Paladins in World of Warcraft can learn to summon a cool horse at level 30. The Alliance Paladins (Humans, Dwarves, Draenei) get one with gold and blue barding, while the Blood Elf (Horde) paladins get one in bronze and red.
At level 60, Alliance paladins go through an epic quest chain to get an Even Cooler Horse, which has horns and glows gold. Blood Elves go through a different quest (which involves desecration of a church and the massacre of its guards, no less) to get one that glows red and looks like it feeds off kitten blood.
Warlocks learn to summon a flaming steed at level 30. At level 60 they have an epic quest to learn to summon an epic, flaming, scaled, horned steed.
Death Knights will get a spectral horse with flaming blue hooves.
Plus there are cool horse drops from bosses — Deathcharger (a skeletal horse with purple barding) and Midnight (which has flaming green hooves and buckteeth... okay, not so cool).
The Headless Horseman's horse, a spectral mount with flaming green hooves, who can run on air.
You can buy (with real money) a Cool Winged Horse from Blizzard online store.
More than merely Cool, it's a living constellation, translucent so you can see the stars glowing within.
The Forsaken have Cool Horses as their default racial mount: they're skeletal, ghoulish steeds decked out in tattered gear and sporting the Glowing Eyelights of Undeath. The level 40 variations include tarnished armor and twisting horns.
The Elder Scrolls IV: Oblivion has Shadowmere, a ludicrously fast immortal black mare with red eyes, who, if you let her, will thoroughly kick the shit out of any enemy in-game. You could also knock her out and store an infinite amount of items in her, effectively making weight limits on what you can carry pointless.
There is also a freaking UNICORN! Which Hircine gives you a quest to kill, but if you refuse you can keep it as a mount.
From Skyrim's third DLC comes Arvak, a skeleton horse who glows with purple flames. As a summoned creature he is also functionally immortal.
The horse armor DLC too... Although that wasn't really the best armor, or DLC for that matter...
Metal Gear Solid 3: Snake Eater. The Boss rides around Cold War era Russia on an Andalusian for absolutely no apparent reason aside from being too damned Badass for normal transportation. Plus, Naked Snake loves horses so much, he wants to... do stuff to it.
Helios's fiery steeds in God of War are all lesser gods.
And Poseidon's Leviathans, they're a part of his god form.
And Chrono's steeds. THEY'RE A HUNDRED FEET TALL AND MADE OF LIVING STONE!!!
Ruin from Darksiders is the horse of War. It's a black horse with hooves and fetlocks of fire.
The sequel gives us Despair, the mount of choice for Death. Instead of Ruin's red motif, Despair has a greenish-blue colour scheme.
The second stage of Shinobi III begins with Musashi riding a horse to the sound of Itaden while fighting enemy ninjas who come from giant kites. Musashi also rides the horse alongside the sunset at the ending.
The Lord of the Rings Online allows you to buy and ride a horse (or a pony, if you're a hobbit or dwarf) after buying the Riding skill for Turbine Points (or if you're a VIP, after you've gotten the skill through a quest gotten at level 20). They're a very nice way to get around Middle-Earth in general.
In Borderlands 2, Handsome Jack, resident insanely rich Big Bad, taunts you over the ECHO network that he has recently bought a horse made of diamonds, because he's rich. And it's an actual, living horse made of diamond, which he names Butt Stallion, in honor of you.
In Tiny Tina's Assault on Dragon Keep, Butt Stallion is the queen that you're trying to save.
Suzie's loyal steed Popcorn in Zombie Ranch may not have the most badass name, but despite his rickety appearance he's survived shotgun blasts, tramplings, and who knows what else. It probably helps that he's been undead the whole time.
Lemon Horse, too. C'mon — the uncanny resemblance it has to Lemongrab is just awesome!
Sir Slicer's horse from 'Blood Under the Skin'
Rainbow Brite had Starlite, who was "the most magnificent horse in the universe" — at least, according to him. Well, he could talk and fly (okay, technically he walked on rainbows) and had rainbow colored hair.
Then there's Skydancer, Stormy's horse. Though he couldn't talk, he could fly unaided, and when he ran he trailed rain and lightning shot from his hooves.
Parodied with Twinkle the Marvel Horse on Dave the Barbarian, who has the technicolor hair and flowery tack of your average girly fantasy pony, but talks like Christopher Walken and speaks endlessly of his morbid dreams about screaming maggots of death and doing unmentionable things to penguins.
Arguably Appa, from Avatar: The Last Airbender . Not a horse, but a huge, 10-ton, six-legged flying bison. With an arrow on his head. How is that not awesome?!
Honey Pie Pony and the other Strawberryland fillies from the 2003 version. Apart from Honey Pie Pony, some appeared in the series, while others did not.
There was also "Maple Stirrup" in the 1980s version.
Which got a passing mention in a game the 2003 series version (to be specific, mentioned in one of the story books in the GBA game Ice Cream Island Riding Camp).
She-Ra: Princess of Power: She-Ra had Swift Wind, a winged unicorn who could talk. Swift Wind's alter ego was an ordinary looking horse called Spirit. However, even as Spirit he was strong, clever and still had the ability to speak.
Played with in the My Little Pony: Friendship Is Magic episode "A Dog and Pony Show." The fact that Equestria is populated mostly by ponies usually keeps the characters from being considered this trope in-universe, but this doesn't stop Spike from trying to ride Twilight into battle to save Rarity (complete with a "Hi-ho, Twilight! Away!"). Twilight is not amused.
Of course, this does not prevent Twilight from indulging him anyway.
Spike also once tried this with the horses pulling the carriage taking the gang to the Grand Galloping Gala. Caramel and Lucky Clover weren't very amused.
Phar Lap, probably one of New Zealand's (or Australia's) most famous celebrities. There are unsupported allegations that he was so fast that when he was brought to the US, he was poisoned by the mob.
Surpassed by Black Caviar, the Australian filly who has now retired with a 25-race winning record.
Man o' War, who ran twenty-one races in his two-year racing career, and won twenty of them. The one loss was due to being faced the wrong way when the race started, and even then he caught up from dead last to finish second. He set three world records, two American records and three track records, and was the sire of the also-famous War Admiral and the grandsire of Seabiscuit. Towards the end of his second racing season, almost nobody was willing to race their horses against him, even with Man o'War carrying absurdly heavy handicap weights; had he raced for a third season, he would have had to carry a heavier handicap than any horse has in the official history of racing.
Seabiscuit himself, of course, the short, funny-looking horse with an underdog background and winner of some amazing races who became a national icon during the Great Depression.
Secretariat was so awesome, ESPN named him as the 35th greatest athlete of the 20th century. No, really. His trainer said that he displayed an almost human-like curiosity, frequently looking up at planes passing overhead, and upon his death, it was discovered his heart weighed 22 pounds (10 kg) — more than twice as large as an average horse of comparable size. How many other racing sports do you know of, in which a major long-distance world record still stands that was set in 1973? (Secretariat's 2:24 in the Belmont, which he won by thirty-one lengths.)
Zenyatta, a five-year-old Thoroughbred mare who is undefeated, tied for the longest winning streak in the history of modern bookkeeping (19), and the defending champion of the Breeders' Cup Classic, arguably the most important race in American Thoroughbred racing. Not only is she the defending champion of that race — she is also the first filly or mare to win it. Ever. Even her first and only loss (her last race, also the Breeder's Cup Classic), counts as a Crowning Moment Of Awesome. After lagging EIGHTEEN LENGTHS for most of the race, and while having dirt kicked in her face, she made possibly the most spectacular run to finish second by the slimmest nose ever. She was in front of the winner, Blame, one stride before the wire, he pulled slightly ahead, then she passed him again one stride after it. Cooler still, she then went on to win Eclipse Horse of the Year over the only horse to defeat her on the track.
Eclipse, the most famous racehorse in history. Born during a solar eclipse, he raced and won eighteen times and his bloodlines run in every top-quality racing horse in the world. Like Secretariat, he had the "X-factor" — a larger-than-normal heart.
Cigar. 33 starts, 19 wins, 4 places, 5 shows. He earned more than eight million dollars, and had a sixteen-race winning streak that included the Breeder's Cup Classic.
The longest winning streak in thoroughbred history belongs to Kinscem, a plain (even ugly) bay filly foaled in Hungary in 1874. She raced across Europe against males and females and was undefeated in fifty-four starts. To cap it, Kinscem produced several daughters who while not quite as successful as their dam were still winning racehorses and successful broodmares. She even has a park named for her in Budapest, a statue in her honor, is still a Hungarian national heroine, and reportedly was once stolen by gypsies — when caught and confronted about why they stole the ugliest filly in the stable, they said that the others were just horses, this one was going to be special. She even has a kidnap story! Kinscem was a very Cool Horse.
Toes the horse(s) of Julius Caesar. The original mount was given to him as a joke as it had an odd mutation where it had splithooves and therefore could not be shod or ridden effectively. Caesar bred a line of warhorses off him.
Babieca, famous warhorse of the Spanish hero Rodrigo Díaz de Vivar (a.k.a. El Cid). Legends have it that when the Cid died, his corpse was strapped to the horse and sent charging into battle. (Of course, nobody bothered asking Babieca if he was cool with the idea.) Babieca is also said to have lived to the age of at least sixty.
Trigger, Roy Roger's horse. According to The Other Wiki, he knew 150 trick cues and is considered the most famous horse in film history. In fact, Golden Cloud (his original name) appeared as Maid Marian's palomino mount in 1938's The Adventures of Robin Hood prior to being cast as Trigger. Now that is a Cool Horse!
Although not a horse, Simpson's donkey Duffy may count. During WWI, at the battle of Gallipoli, she helped Simpson carry wounded Australian soldiers back to the trenches for treatment. When Simpson was eventually sniped by the Turks, she carried on with him and the wounded soldier on her back.
Matsukaze, the legendary horse of the legendary samurai Maeda Toshimasu, better known as Maeda Keiji. Matsukaze was said to be bred from the finest bloodlines, but was so wild that no one could ride him. Through unknown means, perhaps because he was rather wild himself, Maeda Keiji managed to tame Matsukaze and they were inseparable from then on. Matsukaze was said to be incredibly strong compared to other horses and could carry his master's large frame for days. It is also said that when Maeda Keiji died Matsukaze ran away and was never seen again.