If Oblivion's realism is going to kick in (haha, I used the R word) and your horses can be killed, wouldn't it make sense to be able to equip them with defenses, and will you be able to differ from riding bare back and riding with a saddle? And would the number of the horse's equips alter it's speed?
Imagine a knight in daedric armor riding through Kvatch on the back of his equally daedric-clad horse..