Not only is the horse marginally faster (higher base stamina -- Horses can sprint much longer than the Dohvakiin!), but he also flaunts a blatant disregard for physics that can quickly turn into an incredible timesaving path.
Consider: When you're on foot, you must run around any mountains in your path.
Horses, on the other hand, have no qualms with running straight up the mountainous slopes.
