I still like Black Beauty. And there was another one, The Blind Pony, that I loved when I was younger. And the Flicka books.
Someone gave me one of the Chicken Soup horse books and I thought it was depressing. It seemed like most of the stories were tragic. And I can read about death and all, but when it seems like most of the stories are depressing it kind of sucks. But I was going through a bad time in my life then too, so maybe that slanted my view.