I have a band of hair from most of the horses who were 'mine'. Mostly lease horses. I'd fallen out of the practice by the time I bought my own. Should probably grab some hair from my guy at some point. I usually took their bridle paths when I'd cut those for the first time, but I don't let my guy's grow out long enough to be much use. I've been the one who goes out and pulls hair from friend's recently deceased horses so they don't have to.
I didn't do anything for the lease horse I had PTS. It was a traumatic few days and that was the last thing on my mind. Still have her mane hair hanging around though.
I've seen shadow boxes with old halters, ribbons, pictures, shoes, jewlery, ect. I don't want to think about what I'd have done. He's not allowed to die. >.<