What about a good v. Evil theme?
You and your bay can be "evil" and your friend and the palomino can be "good." Maybe not quite as literal as angel v. Devil but something along those lines. For costumes maybe a grim reaper type robe for you and a white ethereal something for her. You can add red and orange ribbons in your horses mane and tail to simulate fire. She can add white or maybe baby blue?
You could stage a synchronized battle. For music find something that has a "good" and a "bad" have the horses solo when their part in the music is playing. Then have it come together for the battle when the music calls for it.
Hope that sparks some ideas!