Let me just address some of your questions. All my answers speak only to the normal (unmodded) game of Oblvion.
You cannot enchant a horse or equip an enchanted item onto a horse. You can, however cast any spell you like upon the horse. That is, you can for example cast a walk on water or fortify speed spell on your horse and for the duration of the spell (120 seconds max), it will be under the effects of that spell. You can also cast a command creature spell on your horse and for the duration, the horse will come to you, then follow you. You can also cast healing spells on your horse.
You cannot fight from horseback. You can try to outrun your enemy, but you cannot cast, shoot or hit from horseback. So, you have to dismount to fight.
Most of us agree that the primary value of horses in the game is from a roleplaying perspective. Horses can run faster than you at the beginning of the game, but most characters can outrun their horses later in the game. If you get onto another horse, your horse will assume you don't want her anymore and wander back to the stables it came from (often getting killed along the way). The game controls for riding a horse take a bit of getting used to, as they are different than moving your character somewhat. I love using horses, but will agree that objectively speaking, they are more trouble than they are worth.
Horses do not have any saddlebags or designed storage capacity. If you have the one horse in the game that is unkillable, then, if you are cruel, you can beat your horse unconscious, then access the poor beast's inventory to store or recover items. I'll leave it to you to decide if knocking your loyal horse out and stuffing your gear up her butt is a good idea. Don't let me shade your opinion about such a disgusting practice.
Most NPC bodies disappear three days after they die. A few, however, do not and become 'permacorpses'.
I've never had a horse die out from under me, so I don't know. I think most of us hop off to fight long before that happens.