Are we talking about actual horses who were famous, or fictional ones? Flicka, Black Beauty, and the Black are all fictional horses.
My favorite famous horse will always be Secretariat. I watched him win the Triple Crown back in the day, and no other horse has ever topped the thrill of that.
My second favorite is Blue Hors Matine. She was a gorgeous animal, and her performances always gave me chills.
Baloubet du Rouet. He could turn on a dime, jump a 1.60m jump with less than a stride into it, and he had so much character in the ring. Always one of my favourites!