Wow! Woke up this morning to all these amazing responses! Now I'm pretty amped to try it!
I think my major fear would be that my ridden horse would get grumpy at the led horse, but I'm not sure why I feel that way... I literally have no experience to make me think that.
Shropshirerosie, I also never heard of ponying as a verb before, but picked it up here... I must say, round here where I am, I don't think its something a lot of people do... I don't know why though! I certainly never witnessed someone doing it, or was ever taught how to do it... maybe we're all way too paranoid in general about controlling one horse, nevermind two!
What I have done before, but only once or twice is, ride one horse, and have the second trot alongside by itself, and just stay away from roads (we live in a large, but enclosed estate, so the horse could never get away properly). It really worked, because the herd instinct/friendship kept them close together, and I could ride as fast as I wanted without worrying about the second horse ripping my arm off, but I also got really worried that if I ever encountered another rider, me having a loose horse would be disrespectful of them/their horse, frighten them, or cause a problem some other way.
Its not very clever actually in so many ways now I think about it! :)
But it sure was fun!