What about Little Red Riding Hood? You could wear the red dress and be the girl, and dress your horse up as a wolf (use a gray blanket and hoodie, a fly mask, and make fake "ears" to put on him). I saw someone do this at a Halloween show one time, and it turned out cute.
ETA: Since it's a fancy dress, I do like the celebrity/Marilyn Monroe idea, if you can figure out how to dress up your horse as a limo. Maybe a white blanket with some sort of cardboard attached to the front and back that's shaped like the front and back of a car?
You could do like a dark vampire and dark horse or unicorn look
princess and a dragon or make your horse a knight with tinfoil and cardboard
little devils
the queen of hearts
little red riding hood
you can do something Victorian style
and since you said red dress here is an idea
http://img.photobucket.com/albums/v425/copperhorse/medievalponycostume.jpg
Edit i love the Marilyn idea another idea is something like a pin up girl get a red feather boa and dress the horse up as well in red and fancy costume pearls and sparkles poof up his hair you wear long red gloves and costume jewelry bows and ribbons flowers it would be a real eye catcher
you could also incorporate like army colors or the flag that was really big with pin up girls also you could do a spin on an old school cow girl with a fake revolver red cow girl hat and red cowboy boots