The one I saw with good use of the horses was MacBeth. Definitely added magic, as you say. The one I wish I had seen was the modified version of Wagner's The Ring Cycle, as a western. Apparently, one of the most moving scenes was the Daughters of Odin riding over the hill on the backs of the clydesdales. :)

One of the things the Caravan Farm Theatre productions do to good effect is to move the audience seating around the farm so as to take advantage of the landscape. In MacBeth, the "back" of the stage was a steep-sided hill, which the army came down with pine boughs as a way to move Birnam Wood.