I would presume there are roads connecting the main cities in oblivion. So I think it would be a great idea if someone would create a cart which your horse could pull. It would be great for merchant type characters. You could carry way more items too.
Now you are talking about letting it transport NPCs instead of just being a moveable container for object inventory. I'm not sure how someone would do that. Maybe scripting could do it. Are there any previous instances of this concept in the game? I can't think of any.