Long stem forage is very important for a horse's digestive system. My pony gets free choice (he is pasture boarded and has 24/7 access to round bales) hay. Unfortunately, I live in the midwestern US and thanks to the drought this year even the best local hay is pretty devoid of real nutrition.
I supplement his hay intake with 2x daily feedings of alfalfa pellets, rice bran and a vitamin supplement recommended for horses in this area. In an ideal world, I would feed only high quality hay, but there really isn't any available without trucking it in from many hundreds of miles away. Even folks with "easy keepers" around here are adding pelleted feeds to their horses rations this winter because sometimes hay alone just isn't enough no matter what quantity you feed it in.