I made some for my horse's birthday with porridge oats, molasses, a bit of honey and grated carrot/apple. I think I used a bit of plain flour as well, just to bind the ingredients together. I found the recipe I used online but can't remember the site I'm afraid - there are a few though so you should be able to find something, although some of them are American so include ingredients that we don't have here.
Being really lazy and unwilling to pay high prices for treats (ok, so I'm tight), I use Badminton Grass Nuts as treats. For some reason horses seem to absolutely love them, they are big nuts so easy to handle and of course as a standard feedstuff don't contain lots of sugar.