Ok...I just saw something right in front of me that I didn't think of. Horse pillow pet. I just bought my son a Bullseye from Toy Story and he loves it. I think there is a regular horse pillow pet.
Cant go wrong with legos blocks, both my kids never get tired of those. Maybe you can find a farm one with a horse in there?
My daughter was into stuffed animals until we got a dog, and she really never ask for another one.