For a couple of Halloweens, I've dressed in a long skirt as part of my costume and gone riding.
One time, I went as a pirate (put a fake parrot in my horse's mane, and used non-toxic white hair spray-paint to stencil a Jolly Roger on my horse's shoulders and flanks). The skirt I wore was long, but I still wore flesh-tone britches and my tall field boots underneath and was perfectly comfortable. No legs "sticking" to the saddle, or uncomfortable rubbing going on.
The following year, I was Red Riding Hood and my horse was "The Big Bad." I wore a long khaki-type skirt, again with the boots and breeches underneath. The skirt was longer than the pirate one, but I was able to arrange it to "flow" over the cantle of my saddle and onto my horse's hindquarters. Of course, I also wore the red riding hood -- well, it was more of a long red cape -- and also draped that over my horse's hindquarters. It looked really cool since he's solid black, and didn't bother him a bit. We went out on trail ride like that, too! I still run into people I met that day, and they still call me "Red Riding Hood."