I think horses are smarter than we give them credit for. All animals, in fact, are probably smarter than we give them credit for.
A little off topic, but anyways...
Here's a cool slow-mo video of a horse galloping:
Vision Research
...all four legs come off the ground!
After I looked at that, I had a new respect for horses (and really all creatures). Life is amazing!
Here's the site that video came from:
Phantom High Speed Movie Gallery