I think it is great that you want to rescue a horse from the KP (kill pen) However, there is usually a reason why they are there. Some are lame and cannot be help, others are sick, some are crazy (mentally) others are older and not broke, some have really bad habits they picked up.
I went to an auction once and saw all the horses that were in the KP. It broke my heart. Even the lames one I wanted to take and just make them comfortable and loved.
If you are going to go and rescue you, if you're not already, take a someone that has a good eye for horses. I'm sure you'd be able to test ride them and get hands on, and really look them over.
Since the market is so low, you probably won't make much of a return, if any, on a horse you rescue, but do feel good about saving it :)