I dislike it how whenever I go exploring somewhere I can't ever find my horse again! I wish Bethesda would add some type of marker on the map for my horse.

Your horse will appear beside you if you fast travel. I believe they'll also return to the stable you bought them from after a certain period of time.

But I agree - there's a very useful mod for Oblivion which places a marker at your horse's location. That would be awesome for Skyrim.

I don't get why they didn't make your horse follow you. That would've been nice.