Unfortunately, I'm to harsh a critic of horsey movies because they are so often poorly done. The horses don't act like real horses, the Black Stallion turns into a brown horse halfway through the race, they make trotting sounds when the horse is cantering ... and the list goes on. I much prefer to read horse books. I'd have a huge list if someone started that. That being said, a few of my all-time favorite movies are well-done horse movies...
The Man From Snowy River
Hidalgo (did you know they used five different horses to play Hidalgo and airbrushed them to match? There's only one that stands out from the rest and it's because it's an Appy and you can see the spotted skin on his eyes and nose).
Seabiscuit (the book is extremely good, too)