Oil contains lots of Omega 6's and not really any Omega 3's. Omega 3 is an anti ant-inflammatory and Omega 6 is a inflammatory. So, if you feed oil, I would HIGHLY recommend adding some additional Omega 3's into your horses diet- you can get the supplements at most horse stores.
Other than that, oil is awesome for adding weight. (when I say oil I mean corn/vegetable)
“Good things come to those who wait… greater things come to those who get off their ass and do anything to make it happen.” - Unknown