Well as baked treats usually include flour &/or grain, they're not healthy options anyway. I use treats a lot in training, so this is particularly important for me, as it's not just a once-in-a-blue-moon junk food.
I use the grain/sugar free supplement(Hygain Zero & KER Gold) that I feed them anyway as my main treat. Also collect rosehips when they're ripe, as the horses love those. Milkweed, fruit tree or oak leaves are also healthy favourites. For extra special treats I cut up carrots & apples or other fruit & veg into little bits.