Not as a rule, but at a farm so there's plenty of otherwise undisturbed snow to build them in. Daughter was up at 5am, got to yard early where she built one, then she did another in the back garden while I was getting ready for work.
We built one in a friend's field, and the stables backed onto the bit where we built it.
Friend put her mare in that night, mare caught sight of it through the open window, turned round and bolted out of the stable before friend could shut the door, and disappeared up the farm track!
Mare came back after a while (friend is the calm sort who just waited patiently for her stomach to bring her back) but poor mare spent the night standing as far away from the dreaded snowman as she could get in a 12x14 stable. The funny thing is she had watched us build it from the other field but of course it looked entirely different from her stable
She was fine with it by the next day, but we didn't build one there the following year for obvious reasons.
Some of the kids built one next to the school last year and one of the horses spooked, dumped it's rider who ended up with broken ribs. Same snowman had to be de constructed before the horse I was on would settle down as he also got terrified of it!
Dizzy stands nearby watching them sweating away, making the best snowman they can................and then promptly breaks it down whilst the children look on, mortified
Me however, I'm chuffed they have very kindly provided him with a boredom breaker
I do throw snowballs at them though Littlun last year started it... big mouthful of snow and then spat it at me. Got photos somewhere of her nose coated in snow!
Yes complete with giant purple hat made from those plastic bucket/skip things (don't know what they are called) - ponies didn't bat an eyelid. However one of them really didn't want our snow sofa in her field and purposely strode over and trampled it flat - not quite sure why. We have another very nosey pony now so if we make a snowman tomorrow I'm sure she'll make it her business to investigate.
Also loving the snowman jump wings! I've built a snowman and a snow cat in my field. Neither caused much interest from ponies, although they did look at me and OH funny when we went sledging with feed bags. Don't try that by the way. It really hurts your bum when you hit a bump!