Bathing horses too often does dry their skin out, so I bathe my horse three or four times a year. I do hose her down after every ride if it's hot outside, and I wash her mane, tail, and legs more often then the rest of her. Then her hair will be clean so I can play with it and comb it out easily without drying out the skin on her body. If she's dirty but not due for a bath, I just rub her coat in circles with a rubber curry and flick the dirt etc. away with a brush, and I keep doing it until no more dirt comes up. Just takes some elbow grease!
I've noticed around here that people often don't bathe enough, so all that build-up of dirt and dandruff and grime makes them itchy. I don't worry if they roll in the dust. I just make sure there's no yucky build-up.