The LEGO Horse is the representation of a horse in themed LEGO sets. At minifig scale, the horse was originally only minimally articulated, with a bendable neck. Currently, it also has articulated rear legs. The horse was originally introduced as part of the Castle theme in 1984, which had previously used "horses" built from other bricks. It also sometimes occured in the town theme. As far as I know, there were never space horses. In recent years, as LEGO has branched into various sets for marketting, there have also been Harry Potter and Lord of the Rings themed horses.
The LEGO horse also had a section cut out in its back, that allowed the insertion of a minifig as a rider. When not being "ridden", this notch could be filled with a small LEGO brick. It could also have a saddle piece placed on it, or a harness that could connect to a cart. Along with being a "figure", the horse was also a "piece", and could be used as part of constructions. This might be related to the horse being the first animal (other than humans) to be included in LEGO, Most later animals, such as the Shark, Monkey or Parrot, were purely decorative, fitting with LEGOs decreasing modularity as the years went by.