Waresbear, she asked for *healthy* ideas.
Donatel, as sugary, starchy feed is not healthy for horses, and they don't tend to care how long you spend in the kitchen for them
why not keep it simple, stick to small pieces of apple, carrot, pumpkin, etc, if they're not IR or over sensitive to sugar or weight. If they are, or in addition, rosehips, fruit tree & other leaves, milk thistle, a pinch of their ration balancer or whatever other feed they may get anyway... There are plenty of healthy treat alternatives, but not much I can think of for baking. Of course, it also depends on how much/often you intend to give treats as to how much being healthy matters - I don't see a prob with giving kids lollies & other junk food occasionally either