(Actually yelled this on my horse one time, and she took off--luckily, I just stayed right where I was, minus a few feet, of course. :) )
I worked at a riding stable and we trained all our horses to be okay with a loud, enthusiastic "Yee Haw!" just in case any of the "dudes" riding them took a notion to yell one out! (And sometimes we found it fun to do it ourselves! )
I really love the western discipline. I mostly trail ride, and do one show a year (but I'm excited because the venue I show at is holding an additional show this year, so I'll be able to go to that one, too!) My horse is definitely not a show horse, though, but we still have fun. Same goes for barrels/gymkahana... both my horses and I think they're fun, but we're definitely not pros!