Nah, some of them were pretty fast I thought. When you get Epona up to her fourth or fifth carrot she is properly flying. Agro from Shadow of the Colossus probably wasn't the fastest but dammit man... she did her job!

Probably the fastest though were the ones that Drake rode in Uncharted 3. They kept pace with those cars at any rate which is good enough for me.

Also, the Kentucky Saddler from Red Dead Redemption waves a hoof.