We had horses in Daggerfall, but they weren't in Morrowind, so I'm not sure if we should necessarily expect something in Skyrim simply because it was in Oblivion.
In Daggerfall we had a Stick Pony, with blinders if it was a Cart, and an invisible guy following us with coconut halves. I imagine the character was the one letting out the overly common whinnies.
I've always assumed the technology wasn't there in Morrowind to accommodate it, since 3rd person views were in.
Still, I'm hoping that unless we have mounted combat, they leave horses out entirely.