A few years ago I was looking to bring in a companion horse and shopped at many rescues. IMO, you definitely have to be careful and picky about who you deal with. I also contacted HCW and after a short conversation I got the willies about that place as well. Nixed her off my list.
I have given up on dealing with rescue operations and instead go right to the source now -- usually the track up here for a good Standardbred. Easy to get for free, often delivered, between 2 and 5 years old that need some retraining for riding. The auction is another place, yes, but you must be very careful with that as well. You get exactly one chance to see the horse, judge whether it's been drugged, can't work with it... cross your fingers and hope for the best.
There are many people who are trying to place their horses in a good home. Watch the classifieds, kijiji, local mags -- you might get one that way. The great thing here is that you get to see how the horse has been living, you can probably meet it a few times and sometimes, not always, but sometimes you can get a reasonable relationship going with the previous owner.
Nothing is truly for free though (<$500 is almost free...) so take a grain of salt with you wherever you go.
Be careful, don't rush and you will find something.