South of Winterhold, on the coast - at a recently abandoned fishing camp. Normally when I come across a horse, it says "steal" when I walk up to it. Not this time - it said "ride". So I did. When I fast-travelled back to Whiterun, it disappeared - wasn't at the stable. Figured it was gone. Next time I fast-travelled, it was standing next to me at my destination. I was like, huh? So I hopped on for another ride. After a while we came upon a bandit. I hopped off to lay him out, when the horse galloped forward and kicked the bandit dead. I was like, huh? So I tried fast-travelling to the Whiterun Stables instead of Whiterun to see what would happen. I arrived with the horse - cool. So I hopped off, thinking the horse would stay there until I return. Nope. Off he/she wandered down the road. I stood there for a sec, thinking it would eventually stop, but it didn't - just kept going.

yeah, its a random horse that turns up for most people. While you can ride it, its not yours, so when you get off it will wander back towards its home.

Awesome. Im suprised it even stayed with you that long.
It went on a little adventure with you... Helped you kill some bandits... Good horsey.

There are a few horses out there like that. It's some kind if bug that makes a horse sort of yours but not completely. I have a regular brown horse that fast travels with me every where but whenever I'm not riding it he immediately starts walking back to where I found him.

i et horses liek that everytime i go to the stormcloak camp near the ritual stone

also beat up some horse stable owner and can ride the horses at that stable with out hvaign enter sneak mode