The best horse in the game (as far as I know) is the one you get from the Dark Brotherhood quest line. Its name is Shadowmere and it is in fact invincible. If it ever gets "killed" (or just lost) then you will always find it back at the place where you first got it (can't think of the name of the place right now). All you need to do is fast-travel to that location and -voilá- a new Shadowmere in all its black beauty will be waiting for you. So, yeah, horse armor was fairly pointless if you got the "right" horse.