My pally mare has pink skin on her nose that always burns horribly. I used to always put Desitin on it, but I found that because it's her nose she rubs it off in about 5 minutes. Plus, she HATES the smell and it's just a pain to put on. I use a fly mask that covers her nose and that does the trick perfectly. If they burn somewhere other than their face though, Desitin would work just fine.
Years ago, we rubbed Noxema on white parts, but these days we use Quic Shade. I think there are a couple other ones, but that's the one I have access to. As far as existing sunburn, I would keep the horse inside during intense sunlight (10-3 in Kansas) until it heals.
Good ol Zinc Oxide. Doesn't matter what brand. Just put it on generously. And be careful with oil based flyspray on your horses white parts that have little hair. Oils intensify heat. ;) so water based flysprays are best for those parts of the body