My mare that I have now has been the only horse ever, of mine, that has been blanketed in the winter; that was last year, when I body clipped her because she would get so sweaty and overheated when I worked her...she was miserable, and would get crabby, so I clipped and kept her rugged. During the day I would strip the heavy blanket, and give her a turn out sheet; at night, I switched back. She never seemed to get cold or too hot during the day with just the sheet.
That said, I am hoping to keep her nude for the most part, this winter...she does have a light waterproof sheet for days that are just too chilly, windy, or rainy, though; so I guess I've gone 'soft' a bit. However, unless I wind up body clipping, she won't get a heavy blanket at all...just the sheet when needed.
I grew up and MN, and we never blanketed our horses, and it gets COLD (like -40 F) for days on end...the horses never seemed bothered at all. As long as they have plenty of food to keep the 'furnace' stoked, a healthy horse should have no problems with the cold.
"The ideal horseman has the courage of a lion, the patience of a saint, and the hands of a woman..."