The only time I have done fancy dress we dressed the poor horse as a ballerina (16hh heavy irish cob). Made a giant tutu, wrapped ribbons up his legs and lots of sparkles and makeup!
There is a seller on ebay at the moment selling horse fancy dress items, seller is called equestrianclearence [sic], I'll try and put up a link - may give you some ideas
Tweedle Dum and Tweedle Dee? Nursery rhymes are always a good start. Humpty Dumpty is often seen.
Is your pony quiet? Horse box. Make sandwich boards, cut out wheel shapes...involves some ingenuity and quite a bit of painting, not to be done if you want an easy one.
There is always that old standby the Clothes Horse, also Paint Horse, that's easy, poster paints are good and wash off - in time...
Bride and Groom. Easy to dress the horse as a bride (lacy curtains from thrift store and LOTS of bling) and dress yourself as the Groom.
When we did Fancy dress regularly handlers dressed up too. I remember once a child was in a bathing suit, hat was covered with one of those flowery swimming caps (do you get them now?) goggles, arm bands, rubber ring, flippers the lot, pony was decorated with shells and seaweed with a sheet painted with waves and had fish and crabs sewn on. Poor Mum was in a bikini top, flip flops and sarong and it was flipping FREEZING and pouring down - they won
Whatever you do, do a lot of it. The glittery hoof polish, something in mane and tail, bandages, etc, etc, decorate a spare bridle and reins etc, fancy dress always looks a bit odd if you put a huge amount of effort into the costume and then go in with a boring leather bridle that spoils the effect.
Have fun.
My tip is to give yourself time to do it if you want to do it well, and try it out first so that the pony doesn't have a coronary and make off for the next county when you put the costume on
Get a large square of corrugated cardboard, paint the corrugated side red with flames around the edges. Cut in half and join the two sides about a foot apart with strong wide tape. Dress the rider as a cat put the "roof" over her head so it sits around her waist and down the pony's sides to look like a roof!
One of the more entertaining (& quick) outfits I've seen was a 'polo pony' - horse covered in empty wrappers with polos dangling down from it's mane - tail tied up ready for polo sport action and handler sporting polo attire and holding a mallet.... I still chuckle thinking about it 8 years later!
I've always fancied dressing up as a road block - a few cones, some flourenscents...maybe a sign or two and some red and white tape. Might spook a few of the other competitors away though!