One of my favorites was a kid in the 4-H who dressed their (red chestnut) pony gelding up as a hot dog - made "buns" out of old brown blankets stuffed and sewn into long bun-shapes, draped over the horse's back with tie-down straps. The girl took her little sister in with her, and they dressed as bottles of ketchup and mustard.
One group does well every year - about 6 guys and a monster of a Belgian. They did a Gladiator theme a couple of years back: the horse was done up like a lion, with about 4 guys "fighting" to hold it back with chains and harness (really ground driving him with theatrics), one guy dressed up as the Roman emperor, and another guy dressed as a gladiator. That was a hoot... they had the whole bedsheet toga thing going, and the "lion handlers" had a nice quantity of fake blood and injuries, etc... Part of that group's success is that they really get in-character for the class; the lion-handlers all knelt before the judge, and the emperor gave the whole thumbs-up bit, lol.
A stubborn horse walks behind you, an impatient one in front of you, but a noble companion walks beside you ~ Unknown