I don't blanket my horses at all because they have free run-in. I just give them xtra hay. I have a TB with a thin coat and she's never shivered, even in the terrible upstate NY weather (3 inches of snow last night IN OCTOBER??!!) Interestingly, in the summer I have to muck their stalls every day because they are inside so much, in the winter I can go 2 or 3 days sometimes and they've hardly gone in at all. They prefer the cold weather. I agree though, if they get wet to the skin, you have to warm them up.
The hardest thing about riding is the ground.