I used to occasionally bake "cookies" when I leased, and they would eat them, but none of them ever seemed too enthusiastic about them.
I finally convinced myself of what I already knew: that I really was just making the cookies for me, and not for the horse. Now I stick to carrots and apples for treats.
I finally bought my own horse a couple months ago, and when his birthday rolled around in May I just brought him an apple. After thinking about it, I realized that even though I had brought loads of carrots to the barn since I got him, I hadn't actually brought any apples. Boy did he seem to love that apple!