I've seen so many things done - the horse and rider were a Christmas tree, beach theme, my horse was a 'Cash Cow', Zebra's, War Horses, Bogans, Cowboys, Unicorns, Hippies.
There are so many idea's really, I have photos of all of these. Which I can pm to you, but since they all aren't of me I won't post them on the public forum.
I did the war horse - basically, a bunch of kids and I painted all over him, in rainbow colours. That wasn't for a costume class though, that was my way of amusing children on a horse camp. It was REALLY fun, just use the correct paint that comes off and one that comes off very easily for the mane and tail, my horse had a rainbow tail for months... With bright pink. Poor boy.
For the Cash Cow though, I got some sail-number material in black (My family are sailors) and cut that out in cow print shapes and stuck it onto a white rug. Then got play money and stuck that all over the rug. It looked really cool, and we won! Along with some tinsel and some dollar signs. He also had a pink nose, but that was just fun!
... He's a very well behave horse.