I went with my youngest to the 2004 Rolex 3-day event in Lexington, Kentucky. OK, we just went to day 2 (the cross-country day) but it was cool. Here are three videos I took. They run 3 or 4 megs, so broadband is recommended.
Tech Note: The original video was shot with a Canon S1 Pro at 640x480, 30fps. The resulting 40-60 M motion JPEG file (AVI) was re-compressed (MPEG-4 using Quicktime Pro), limited to 128K/sec (which decreased both the quality and frame rate (to 15fps)), and quickstart (so you can watch while it downloads). They still look pretty good.
Horse Video 1 (3.7M)
Horse Video 2 (2.7M)
Horse Video 3 (2.3M)