Depends what the supplement is and why you're giving it. With a horse on a balanced diet, already getting everything he needs, it just creates expensive urine. A general vits and mins can ensure he's getting all the trace elements he needs if you don't want to have your grass/hay analysed. For horses with specific medical dietary needs that are not met by their usual diet - eg biotin, milk thistle, hormones - they can be a huge help. But the tons and tons of peripheral stuff you can get that promises the earth, moon and starts, I'd look for the supporting research first. Some products claim such amazing healing properties that you know it must be twaddle or vets would be prescribing it left right and centre and the company directors would all be living in the Bahamas. My vets are running a talk for owners on nutrition on 25th Nov - Redwings nutritionalist coming down - and one of the key topics is Supplements. I'll post after the session!
From Nov to April (when our horses come on a night) once there on hay and the grass is not at its best, I supplement the bucket feeds with:-
Biotin, 6 months down the line they have lovely feet, so done every year it vastly improves the feet year in year out, farrier notices the difference and swears by it.
Seaweed - Improves the condition of the skin/coat, specially good for those horses that have blocked pores/itchy coats/mud fever etc
Garlic - Aids the respiratory system, conditions the blood, keeps the flys at bay (in summer that is) and also helps to eliminate worms along with your regular worming programme, however many feeds on the market contain already contain garlic.
Pink Powder - healthy gut equals a healthy horse, mine only have a simple diet of fibre, it really helps the horse make the most of what there consuming, with out wasting money on weight gaining feeds.
Use the same stuff year in year out and they always look a picture of health through winter.