I generally use the pelleted 'ration balancer' that they get anyway. Instead of just feeding it to them, I put it in a waistbag & dish it out in tiny handfuls/large pinches to reinforce behaviours during training.
Also often use leaves - apple & apricot & oak leaves are generally favourites. When there are wild rosehips around, these are enjoyed too. For Extra Special treats, I use diced carrot or apple.
Non-recommendations include sugar, grain, or otherwise sugary, starchy foods which are unhealthy. I don't see a point in using unhealthy treats when there're so many healthy ones to choose from, and many horses are extra sensitive & lami prone even with small amounts of 'junk food'.