I think, from what I've read here, that the cultural pressure to rug the horse is much stronger in Australia than in the US. Maybe in the UK it's stronger, too.
I mean, that it's done becuase everyone's doing it.
Obviously, some horses might need a rug. Clipped, ill, very old, or sometimes thoroughbreds don't grow much of a coat. I am sure there are other instances where the horse needs a rug. (that is always a funny image to me, since "rug" means a small carpet on the floor, to me)
But, to assume the horse needs it as a given is unnecessary. Like others said, they stay much warmer than we do. The digestive process of breaking down the hay will literally produce warmth, so make sure they have food to much through when it's cold.
Don't brush them when they are wet or you'll break the waterbarrier of the clumping outer hairs, and you'll bring the water down into the dry under layer.
that's all I can think of.